Small sample estimation of a cointegrating vector: an empirical evaluation of six estimation techniques

Tilak Abeysinghe and Tan Khay Boon

Applied Economics Letters, 1999, vol. 6, issue 10, 645-648

Abstract: A large number of techniques are now available for estimating a cointegrating regression. Although many of these techniques provide asymptotically equivalent estimators, their small-sample properties are known only with respect to a limited number of Monte Carlo studies. In light of the growing controversy over the nature of non-stationarity of economic time series, a comprehensive evaluation of these techniques within an applied framework can shed more light on the relative merits of these techniques. An estimation of long-run demand elasticities by six such techniques based on annual data from Canada, China and Singapore show rather disconcerting results. In small samples OLS may still be the best choice.

Date: 1999
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DOI: 10.1080/135048599352420

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