Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors
AbstractThe maximum likelihood estimator of the adjustment coefficient in a cointegrated vector autoregressive model (CVAR) is generally biased. For the case where the cointegrating vector is known in a first-order CVAR with no intercept, we derive a condition for the unbiasedness of the maximum likelihood estimator of the adjustment coefficients, and provide a simple characterization of the bias in case this condition is violated. A feasible bias correction method is shown to virtually eliminate the bias over a large part of the parameter space.
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Bibliographic InfoPaper provided by Universiteit van Amsterdam, Dept. of Econometrics in its series UvA-Econometrics Working Papers with number 13-05.
Date of creation: 04 Jun 2013
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Postal: Dept. of Econometrics, Universiteit van Amsterdam, Valckenierstraat 65, NL - 1018 XE Amsterdam, The Netherlands
Web page: http://www.ase.uva.nl/uva-econometrics
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Other versions of this item:
- van Garderen, Kees Jan & Peter Boswijk, H., 2014. "Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors," Economics Letters, Elsevier, vol. 122(2), pages 224-228.
- NEP-ALL-2013-08-31 (All new papers)
- NEP-ECM-2013-08-31 (Econometrics)
- NEP-ETS-2013-08-31 (Econometric Time Series)
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- repec:fth:louvco:9768 is not listed on IDEAS
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