Asymptotic Properties Of The Estimator Of The Long‐Run Coefficient In A Dynamic Model With Integrated Regressors And Serially Correlated Errors

Zonglu He, Koichi Maekawa and Michael McAleer

The Japanese Economic Review, 2003, vol. 54, issue 4, 420-438

Abstract: In this paper we examine the asymptotic properties of the estimator of the long‐run coefficient (LRC) in a dynamic regression model with integrated regressors and serially correlated errors. We show that the OLS estimators of the regression coefficients are inconsistent but the OLS‐based estimator of the LRC is superconsistent. Furthermore, we propose an alternative consistent estimator of the LRC, compare the two estimators through a Monte Carlo experiment, and find that the proposed estimator is MSE‐superior to the OLS‐based estimator.

Date: 2003
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https://doi.org/10.1111/1468-5876.t01-1-00068

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Working Paper: Asymptotic Properties of the Estimator of the Long-run Coefficient in a Dynamic Model with Integrated Regressors and Serially Correlated Errors (2003)
Working Paper: Asymptotic Properties of the Estimator of the Long-run Coefficient in a Dynamic Model with Integrated Regressors and Serially Correlated Errors (2001)
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