Integrated Modiï¬ ed Least Squares Estimation and (Fixed-b) Inference for Systems of Cointegrating Multivariate Polynomial Regressions

Sebastian Veldhuis and Martin Wagner
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Sebastian Veldhuis: Department of Economics, University of Klagenfurt

No 54, IHS Working Paper Series from Institute for Advanced Studies

Abstract: We consider integrated modiï¬ ed least squares estimation for systems of cointegrating multivariate polynomial regressions, i. e., systems of regressions that include deterministic variables, integrated processes and products of these variables as regressors. The errors are allowed to be correlated across equations, over time and with the regressors. Since, under restrictions on the parameters or in case of non-identical regressors across equations, integrated modiï¬ ed OLS and GLS estimation do not, in general, coincide, we discuss in detail restricted integrated generalized least squares estimators and inference based upon them. Furthermore, we develop asymptotically pivotal ï¬ xed-b inference, available only in case of full design and for speciï¬ c hypotheses.

Keywords: Integrated modiï¬ ed estimation; cointegrating multivariate polynomial regression; ï¬ xed-b inference; generalized least squares (search for similar items in EconPapers)
JEL-codes: C12 C13 C32 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2024-05
New Economics Papers: this item is included in nep-ecm and nep-ets
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