ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN I (2) SYSTEMS

Paolo Paruolo

Econometric Theory, 2000, vol. 16, issue 04, pages 524-550

Abstract: This paper derives the distribution of the two stage estimator of cointegrating parameters in I(2) systems, abbreviated 2SI2, under several assumptions regarding the drift of the process. The asymptotic distribution is compared with that of the maximum likelihood (ML) estimator derived in Johansen (1997, Scandinavian Journal of Statistics 24, 433 462). It is found that the two asymptotic distributions are the same, thus showing that the 2SI2 estimator is asymptotically as efficient as ML.

Date: 2000
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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:16:y:2000:i:04:p:524-550_16

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