The Marginal Density of Bivariate Cointegration Estimators
AbstractThe limiting marginal density of efficient estimators of bivariate cointegration vectors is derived in closed form. The formula is exact, and it consists of highly efficient convergent expansion. It is used to plot the density. Furthermore, it is manipulated analytically to reveal features that could not be uncovered by Monte Carlo. For example, it is demonstrated that moments of any integer order exist, and the derived unconditional (marginal) density is compared to the conditional one which is normal.
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Bibliographic InfoPaper provided by Exeter University, Department of Economics in its series Discussion Papers with number 9405.
Length: 6 pages
Date of creation: 1994
Date of revision:
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time series; econometrics; cointegration;
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- Gabriel Pons Rotger, 2000. "Temporal Aggregation and Ordinary Least Squares Estimation of Cointegrating Regressions," Econometric Society World Congress 2000 Contributed Papers 1317, Econometric Society.
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