Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors
The maximum likelihood estimator of the adjustment coefficient in a cointegrated vector autoregressive model (CVAR) is generally biased. For the case where the cointegrating vector is known in a first-order CVAR with no intercept, we derive a condition for the unbiasedness of the maximum likelihood estimator of the adjustment coefficients, and provide a simple characterization of the bias in case this condition is violated. A feasible bias correction method is shown to virtually eliminate the bias over a large part of the parameter space.
|Date of creation:||04 Jun 2013|
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- Magnus, J.R., 1986. "The exact moments of a ratio of quadratic forms in normal variables," Other publications TiSEM c6725407-ac3c-44fd-b6d1-5, Tilburg University, School of Economics and Management.
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96/14, Department of Economics, University of York.
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- repec:ner:tilbur:urn:nbn:nl:ui:12-153219 is not listed on IDEAS
- Jan R. MAGNUS, 1986. "The Exact Moments of a Ratio of Quadratic Forms in Normal Variables," Annales d'Economie et de Statistique, ENSAE, issue 4, pages 95-109.
- van GARDEREN, Kees Jan, 1997. "Exact geometry of explosive autoregressive models," CORE Discussion Papers 1997068, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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