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

Author Info

Zonglu He (Risshikan University)
Koichi Maekawa (Faculty of Economics, Hiroshima University)
Michael McAleer (Department of Economics, University of Western Australia)

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Michael McAleer

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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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
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Handle: RePEc:tky:fseres:2003cf215

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Article
- Zonglu He & Koichi Maekawa & Michael McAleer, 2003. "Asymptotic Properties Of The Estimator Of The Long-Run Coefficient In A Dynamic Model With Integrated Regressors And Serially Correlated Errors," The Japanese Economic Review, Japanese Economic Association, vol. 54(4), pages 420-438. [Downloadable!] (restricted)
Paper
- Koichi Maekawa & Michael McAleer & Zonglu He, 2001. "Asymptotic Properties of the Estimator of the Long-run Coefficient in a Dynamic Model with Integrated Regressors and Serially Correlated Errors," ISER Discussion Paper 0538, Institute of Social and Economic Research, Osaka University. [Downloadable!]

This paper has been announced in the following NEP Reports:

NEP-ALL-2003-04-02 (All new papers)
NEP-ECM-2003-04-04 (Econometrics)
NEP-ETS-2003-04-02 (Econometric Time Series)
NEP-RMG-2003-04-02 (Risk Management)

References listed on IDEAS
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Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March. [Downloadable!] (restricted)
Other versions:
- Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation, Yale University, revised Feb 1986. [Downloadable!]

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