IDEAS home Printed from https://ideas.repec.org/p/ivi/wpasec/1994-11.html
   My bibliography  Save this paper

Comparing cointegration regression estimators: Some additional Monte Carlo results

Author

Listed:
  • José García-Montalvo

    (Instituto Valenciano de Investigaciones Económicas)

Abstract

This paper compares the finite sample performance of two recently proposed cointegrating vector estimators: the canonical cointegration regression estimator (Park [6]) and Stock and Watson's [9] dynamic ordinary least squares estimator (DOLS). The set up for the Monte Carlo experiment is the same used by Inder [3]. The results show that the canonical cointegration regression estimator has smaller bias and mean square root error than the OLS and the fully modified estimator. In addition, Stock and Watson's estimator performs systematically better than the CCR estimator. Este trabajo compara las propiedades en pequeñas muestras de dos estimadores de vectores de cointegración propuestos recientemente en la literatura: el estimador de la regresión de cointegración canónica (CCR)(Park (1992)) y el llamado estimador dínamico por mímimos cuadrados propuesto por Stock y Watson (1993). El estudio de Monte-CarIo se basa en el proceso generador utilizado por Inder (1993). Los resultados muestran que el estimador de la regresión de cointegración canónica tiene un sesgo y un error cuadrático medio menores que el estimador por mínimos cuadrados y el estimador conocido como "ful1y modified". Además, la simulación permite comprobar que el estimador propuesto por Stock y Watson (1993) tiene un sesgo menor que el estimador CCR para todos los modelos examinados.

Suggested Citation

  • José García-Montalvo, 1994. "Comparing cointegration regression estimators: Some additional Monte Carlo results," Working Papers. Serie EC 1994-11, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    • Handle: RePEc:ivi:wpasec:1994-11
    as

    Download full text from publisher

    File URL: http://www.ivie.es/downloads/docs/wpasec/wpasec-1994-11.pdf
    File Function: Fisrt version / Primera version, 1994
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ivi:wpasec:1994-11. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Departamento de Edición (email available below). General contact details of provider: https://edirc.repec.org/data/ievages.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.