Cointegration in a periodic vector autoregression
Frank Kleibergen () and
Philip Hans Franses
No EI 9906-/A, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
We consider representation, estimation and inference on cointegration in a (PVAR). We show that cointegration amounts to a restriction on a product of parameter matrices. We therefore use GMM to construct estimators of the long-run (cointegration) parameters and to obtain test statistics for cointegration. We show that the limiting distributions of the GMM estimators and the corresponding test statistics in a PVAR are identical to those of the maximum likelihood cointegration estimators and test statistics in standard nonperiodic VAR models.
Keywords: GMM; VAR model; periodic vector autoregressive time series model (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ems:eureir:1561
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