Reparameterization and Estimation in Unit Root Equations

Tran van Hoa
Additional contact information
Tran van Hoa: Department of Economics, Wollongong University, NSW 2500, Australia and CORE, Université catholique de Louvain, B-1348 Louvain-la-Neuve, Belgium
Authors registered in the RePEc Author Service: Van Hoa Tran and Van Hoa Tran ()

No 1993024, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: Reparameterization is common in econometrics with early examples in the form of Koyck transformations that started in the 1950s. Reparameterization can produce interesting models for estimation and inference. The paper specifically looks at reparameterization in unit root equations, and provides some results of OLS and improved estimation for comparative purposes. Surprisingly, the dominance of the positive Stein-rule and 2SHI estimators over the OLS uniformly holds in the level case, and more so in the difference case. The implication is that, for estimation of unit root equations, the OLS is suboptimal.

Date: 1993-03-01
References: Add references at CitEc
Citations:

Downloads: (external link)
https://sites.uclouvain.be/core/publications/coredp/coredp1993.html (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:1993024

Access Statistics for this paper

More papers in LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Voie du Roman Pays 34, 1348 Louvain-la-Neuve (Belgium). Contact information at EDIRC.
Bibliographic data for series maintained by Alain GILLIS ().