We consider representation, estimation and inference on cointegration in a periodic vector autoregressive time series model (PVAR). We show that cointegration amounts to a restriction on a product of parameter matrices. We therefore use GMM to construct estimators of the long-run (cointegration) parameters and to obtain test statistics for cointegration. We show that the limiting distributions of the GMM estimators and the corresponding test statistics in a PVAR are identical to those of the maximum likelihood cointegration estimators and test statistics in standard nonperiodic VAR models.
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Paper provided by Erasmus University of Rotterdam - Econometric Institute in its series Papers with number
9906/a.
Find related papers by JEL classification: C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing