CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS

Pentti Saikkonen

Econometric Theory, 2001, vol. 17, issue 02, pages 296-326

Abstract: This paper studies the consistency of the Gaussian maximum likelihood estimator in a cointegrated vector autoregressive model with nonlinear time trends in cointegrating relations. The results are proved in a coordinate free framework that readily allows for general nonlinear parameter restrictions and makes it possible to show the consistency of reduced form parameter estimators without assuming identifiability of underlying structural parameters. Various consistency results for structural parameter estimators can then be obtained by imposing suitable identification conditions for the parameters of interest but not necessarily for nuisance parameters. Orders of consistency are also obtained because they are needed to develop a related asymptotic theory of statistical inference.

Date: 2001
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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:17:y:2001:i:02:p:296-326_17

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