Hyper-Consistent Estimation of a Unit Root in Time Series Regression

Peter Phillips

No 1040, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: It is shown that the fully modified ordinary least squares (FM-OLS) estimator of a unit root in time series regression is T^{3/2}-consistent. Relative to FM-OLS, therefore, the least squares and maximum likelihood estimators are infinitely deficient asymptotically. Simulations show that this dominance of FM-OLS persists even in small samples.

Keywords: Fully modified least squares; hyper-consistent; unit root (search for similar items in EconPapers)
Pages: 20 pages
Date: 1992-11
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Citations: View citations in EconPapers (7)

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