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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
  • Koichi Maekawa
  • 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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  • 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, December.
    • Handle: RePEc:bla:jecrev:v:54:y:2003:i:4:p:420-438
    DOI: 10.1111/1468-5876.t01-1-00068
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    1. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    2. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
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