Statistical Properties of the Two-Stage Least Squares Estimator under Cointegration
AbstractThe author derives the limiting properties of the two-stage least squares estimator of an equation in a dynamic simultaneous model when variables are nonstationary and cointegrated. The implication on hypothesis testing is also discussed. It is shown that, in a structural equation approach, what one needs to worry about are the classical issues of identification and estimation, not nonstationarity and cointegration. Conventional formulae for computing the asymptotic covariance of the two-stage least squares estimator and the Wald-type test statistics remain good approximations despite the fact that variables may be integrated. Copyright 1997 by The Review of Economic Studies Limited.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Wiley Blackwell in its journal Review of Economic Studies.
Volume (Year): 64 (1997)
Issue (Month): 3 (July)
Contact details of provider:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0034-6527
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Calderon, Cesar & Loayza, Norman & Serven, Luis, 2003. "Do capital flows respond to risk and return?," Policy Research Working Paper Series 3059, The World Bank.
- Song, Nianfu & Chang, Sun Joseph & Aguilar, Francisco X., 2011. "U.S. softwood lumber demand and supply estimation using cointegration in dynamic equations," Journal of Forest Economics, Elsevier, vol. 17(1), pages 19-33, January.
- V. Pandit, 2008. "Structural Modeling under Challenge," Working Papers id:1622, eSocialSciences.
- Cheng Hsiao & Yan Shen & Hiroshi Fujiki, 2004.
"Aggregate vs Disaggregate Data Analysis — A Paradox in the Estimation of a Money Demand Function of Japan Under the Low Interest Rate Policy,"
IEPR Working Papers
04.1, Institute of Economic Policy Research (IEPR).
- Yan Shen & Cheng Hsiao & Hiroshi Fujiki, 2005. "Aggregate vs. disaggregate data analysis-a paradox in the estimation of a money demand function of Japan under the low interest rate policy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(5), pages 579-601.
- Cheng Hsiao & Yan Shen & Hiroshi Fujiki, 2002. "Aggregate vs Disaggregate Data Analysis - A Paradox in the Estimation of Money Demand Function of Japan Under the Low Interest Rate Policy," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 A4-1, International Conferences on Panel Data.
- Torfinn Harding & Anthony J Venables, 2013.
"The Implications of Natural Resource Exports for Non-Resource Trade,"
OxCarre Working Papers
103, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
- Harding, Torfinn & Venables, Anthony J, 2013. "The implications of natural resource exports for non-resource trade," CEPR Discussion Papers 9318, C.E.P.R. Discussion Papers.
- Hsiao, Cheng & Fujiki, Hiroshi, 1998. "Nonstationary Time-Series Modeling versus Structural Equation Modeling: With an Application to Japanese Money Demand," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 16(1), pages 57-79, May.
- Cheng Hsiao & Siyan Wang, 2005.
"Modified Two Stage Least Squares Estimators for the Estimation of a Structural Vector Autoregressive Integrated Process,"
IEPR Working Papers
05.23, Institute of Economic Policy Research (IEPR).
- Hsiao, Cheng & Wang, Siyan, 2006. "Modified two-stage least-squares estimators for the estimation of a structural vector autoregressive integrated process," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 427-463.
- Norah Al-Ballaa, 2005. "Test for cointegration based on two-stage least squares," Journal of Applied Statistics, Taylor and Francis Journals, vol. 32(7), pages 707-713.
- Martin-Mayoral, Fernando & Proaño, Maria Belén, 2012.
"Las remesas en América Latina, ¿amenaza u oportunidad?
[Remittances in Latin America, a threat or an opportunity?]," MPRA Paper 43730, University Library of Munich, Germany.
- V. Pandit, 2001. "Structural Modelling Under Challenge," Working papers 98, Centre for Development Economics, Delhi School of Economics.
- Akbar, Muhammad & Jamil, Faisal, 2012. "Monetary and fiscal policies' effect on agricultural growth: GMM estimation and simulation analysis," Economic Modelling, Elsevier, vol. 29(5), pages 1909-1920.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.