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Asymptotic efficiency of the ordinary least-squares estimator for sur models with integrated regressors

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  • Shin, Dong Wan
  • Joon Kim, Han
  • Jhee, Won-Chul

Abstract

For seemingly unrelated regression (SUR) models with integrated regressors, two sufficient conditions are identified, under which the ordinary least-squares estimator (OLSE) is asymptotically efficient. The first condition is that every pair of regressor processes are cointegrated in a specific way that one regressor is a linear combination of the other regressor up to a zero-mean stationary error and the second condition is that, for every pair of regressor processes, the pair of error processes deriving the regressor processes have zero long-run covariance.

Suggested Citation

  • Shin, Dong Wan & Joon Kim, Han & Jhee, Won-Chul, 2007. "Asymptotic efficiency of the ordinary least-squares estimator for sur models with integrated regressors," Statistics & Probability Letters, Elsevier, vol. 77(1), pages 75-82, January.
  • Handle: RePEc:eee:stapro:v:77:y:2007:i:1:p:75-82
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    References listed on IDEAS

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    5. Walter Torous & Rossen Valkanov & Shu Yan, 2004. "On Predicting Stock Returns with Nearly Integrated Explanatory Variables," The Journal of Business, University of Chicago Press, vol. 77(4), pages 937-966, October.
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    7. Kitamura, Yuichi & Phillips, Peter C. B., 1997. "Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments," Journal of Econometrics, Elsevier, vol. 80(1), pages 85-123, September.
    8. Shin, Dong Wan & Oh, Man Suk, 2002. "Asymptotic Efficiency Of The Ordinary Least Squares Estimator For Regressions With Unstable Regressors," Econometric Theory, Cambridge University Press, vol. 18(05), pages 1121-1138, October.
    9. Shin, Dong Wan & Oh, Man-Suk, 2004. "Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors," Journal of Econometrics, Elsevier, vol. 122(2), pages 247-280, October.
    10. Baltagi, Badi H., 1988. "The Efficiency of OLS in a Seemingly Unrelated Regressions Model," Econometric Theory, Cambridge University Press, vol. 4(03), pages 536-537, December.
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