The DOI matches its Crossref record; 24 of the 24 references it cites were found in a registry or an index.
Asymptotically Efficient Estimation of Cointegration Regressions
Abstract
An asymptotic optimality theory for the estimation of cointegration regressions is developed in this paper. The theory applies to a reasonably wide class of estimators without making any specific assumptions about the probability distribution or short-run dynamics of the data-generating process. Due to the nonstandard nature of the estimation problem, the conventional minimum variance criterion does not provide a convenient measure of asymptotic efficiency. An alternative criterion, based on the concentration or peakedness of the limiting distribution of an estimator, is therefore adopted. The limiting distribution of estimators with maximum asymptotic efficiency is characterized in the paper and used to discuss the optimality of some known estimators. A new asymptotically efficient estimator is also introduced. This estimator is obtained from the ordinary least-squares estimator by a time domain correction which is nonparametric in the sense that no assumption of a finite parameter model is required. The estimator can be computed with least squares without any initial estimations.
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Cites
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Engle, R. F., & Granger, C. W. J. (1987) · Econometrica · doi:10.2307/1913236 · Cited by 32,007
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Cited by
Testing for Error Correction in Panel Data*
Westerlund, J. (2007) · Oxford Bulletin of Economics and Statistics · doi:10.1111/j.1468-0084.2007.00477.x · Cited by 6,113
Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework
Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014) · Festschrift in Honor of Peter Schmidt · doi:10.1007/978-1-4899-8008-3_9 · Cited by 3,835
Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots
Campbell, J. Y., & Perron, P. (1991) · NBER Macroeconomics Annual · doi:10.1086/654163 · Cited by 1,255
Estimating Long-Run Economic Equilibria
Phillips, P. C. B., & Loretan, M. (1991) · The Review of Economic Studies · doi:10.2307/2298004 · Cited by 853
On the Estimation and Inference of a Cointegrated Regression in Panel Data
Kao, C. D., & Chiang, M.-H. (1997) · SSRN Electronic Journal · doi:10.2139/ssrn.2379 · Cited by 518
Metadata
- Authors
- Saikkonen, P.
- Venue
- Econometric Theory
- Publisher
- Cambridge University Press (CUP)
- Published
- 1991-03
- Volume
- 7
- Issue
- 1
- Pages
- 1-21
- ISSN
- 0266-4666 (ISSN-L)
- 1469-4360
- OpenAlex
- W2122720395
- Cited by
- 1,259
- References
- 24
- FWCI
- 45.88
- Type
- journal article
- Language
- en
- Open access
- closed
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
