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Asymptotic Properties of the Estimator of the Long-run Coefficient in a Dynamic Model with Integrated Regressors and Serially Correlated Errors

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  • Zonglu He

    (Risshikan University)

  • Koichi Maekawa

    (Faculty of Economics, Hiroshima University)

  • Michael McAleer

    (Department of Economics, University of Western Australia)

Abstract

In this paper we examine the asymptotic properties of the estimator of the long-run coefficient (LRC) in a dynamic regression model with integrated regressors and serially correlated errors. We show that the OLS estimators of the regression coefficients are inconsistent but the OLS-based estimator of the LRC is superconsistent. Furthermore, we propose an alternative consistent estimator of the LRC, compare the two estimators through a Monte Carlo experiment, and find that the proposed estimator is MSE-superior to the OLS-based estimator.

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File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2003/2003cf215.pdf
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Bibliographic Info

Paper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-215.

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Length: 35 pages
Date of creation: Mar 2003
Date of revision:
Handle: RePEc:tky:fseres:2003cf215

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  1. Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
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