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
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Zonglu He: Risshikan University
Koichi Maekawa: Faculty of Economics, Hiroshima University

No CIRJE-F-215, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

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.

Pages: 35 pages
Date: 2003-03
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-rmg
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http://www.cirje.e.u-tokyo.ac.jp/research/dp/2003/2003cf215.pdf (application/pdf)

Related works:
Journal Article: 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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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2003cf215

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