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|
|Date of revision:|
|Contact details of provider:|| Postal: Dept. of Econometrics, Universiteit van Amsterdam, Valckenierstraat 65, NL - 1018 XE Amsterdam, The Netherlands|
Web page: http://www.ase.uva.nl/uva-econometrics
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- Karim Abadir & Kaddour Hadri & Elias Tzavalis, .
"The Influence of VAR Dimensions on Estimator Biases,"
96/14, Department of Economics, University of York.
- Karim M. Abadir & Kaddour Hadri & Elias Tzavalis, 1999. "The Influence of VAR Dimensions on Estimator Biases," Econometrica, Econometric Society, vol. 67(1), pages 163-182, January.
- 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).
- repec:adr:anecst:y:1986:i:4:p:05 is not listed on IDEAS
- 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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