Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation
This paper studies the estimation and testing of general cointegrated systems by using an autoregressive approximation. Simple estimators for both the cointegration vectors and their weight matrix in the autoregressive error correction model representation of the system are developed. Since these estimators assume that the number of cointegration vectors and their normalization are fixed in advance, convenient specification tests for checking the validity of these assumptions are also provided. The asymptotic distributions of the estimators and test statistics are derived by assuming that the order of the auto-regressive approximation increases with the sample size at a suitable rate. This generalizes some previous results derived for finite-order autoregressions as no assumption of a finite-parameter data-generating process is imposed. The estimators and tests of the paper are interpreted in terms of autoregressive spectral density estimators at the zero frequency and, in the special case of a finite-order Gaussian autoregression, their relation to maximum likelihood procedures is discussed. All estimators of the paper can be applied with simple least-squares techniques and used to construct conventional Wald tests with asymptotic chi-square distributions under the null hypothesis. The limit theory of the specification tests is nonstandard, similar to that in univariate unit root tests.
Volume (Year): 8 (1992)
Issue (Month): 01 (March)
|Contact details of provider:|| Postal: Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK|
Web page: http://journals.cambridge.org/jid_ECT
When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:8:y:1992:i:01:p:1-27_01. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters)
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.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.