Estimation and Inference in a Possibly Multi-cointegrated System with a Fixed Number of Instruments

Yixiao Sun, Peter Phillips and Igor Kheifets
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Yixiao Sun: University of California, San Diego
Igor Kheifets: University of North Carolina at Charlotte

No 2410, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This note shows that the mixed normal asymptotic limit of the trend IV estimator with a fixed number of deterministic instruments (fTIV) holds in both singular (multicointegrated) and nonsingular cointegration systems, thereby relaxing the exogeneity condition in (Phillips and Kheifets, 2024, Theorem 1(ii)). The mixed normality of the limiting distribution of fTIV allows for asymptotically pivotal F tests about the cointegration parameters and for simple efficiency comparisons of the estimators for different numbers K of instruments, as well as comparisons with the trend IV estimator when K → ∞ with the sample size.

Pages: 12 pages
Date: 2024-10
New Economics Papers: this item is included in nep-ecm and nep-ets
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