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Consistent Estimation In Cointegrated Vector Autoregressive Models With Nonlinear Time Trends In Cointegrating Relations

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  • Saikkonen, Pentti

Abstract

This paper studies the consistency of the Gaussian maximum likelihood estimator in a cointegrated vector autoregressive model with nonlinear time trends in cointegrating relations. The results are proved in a coordinate free framework that readily allows for general nonlinear parameter restrictions and makes it possible to show the consistency of reduced form parameter estimators without assuming identifiability of underlying structural parameters. Various consistency results for structural parameter estimators can then be obtained by imposing suitable identification conditions for the parameters of interest but not necessarily for nuisance parameters. Orders of consistency are also obtained because they are needed to develop a related asymptotic theory of statistical inference.

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 17 (2001)
Issue (Month): 02 (April)
Pages: 296-326

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Handle: RePEc:cup:etheor:v:17:y:2001:i:02:p:296-326_17

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Cited by:
  1. Hannu Koskinen, 2004. "Modelling of Structural Changes in Demand for Money Cointegration Relations," Finnish Economic Papers, Finnish Economic Association, vol. 17(2), pages 63-72, Autumn.
  2. Antonio N. Bojanic, 2009. "The impact of tin on the economic growth of Bolivia," COYUNTURA ECONÓMICA, FEDESARROLLO.
  3. Bruggemann, Ralf & Lutkepohl, Helmut & Saikkonen, Pentti, 2006. "Residual autocorrelation testing for vector error correction models," Journal of Econometrics, Elsevier, vol. 134(2), pages 579-604, October.
  4. Juhl, Ted & Xiao, Zhijie, 2005. "A nonparametric test for changing trends," Journal of Econometrics, Elsevier, vol. 127(2), pages 179-199, August.
  5. Marçal, Emerson Fernandes & Valls Pereira, Pedro L., 2012. "Evaluating the existence of structural change in the brazilian term structure of interest : evidence based on cointegration models with structural break," Textos para discussão 314, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).

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