IDEAS home Printed from https://ideas.repec.org/p/ame/wpaper/1305.html
   My bibliography  Save this paper

Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors

Author

Listed:
  • Kees Jan van Garderen
  • H. Peter Boswijk

Abstract

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.

Suggested Citation

  • Kees Jan van Garderen & H. Peter Boswijk, 2013. "Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors," UvA-Econometrics Working Papers 13-05, Universiteit van Amsterdam, Dept. of Econometrics.
  • Handle: RePEc:ame:wpaper:1305
    as

    Download full text from publisher

    File URL: http://ase.uva.nl/binaries/content/assets/subsites/amsterdam-school-of-economics/research/uva-econometrics/dp-2013/1305.pdf
    Download Restriction: no

    Other versions of this item:

    References listed on IDEAS

    as
    1. repec:adr:anecst:y:1986:i:4:p:05 is not listed on IDEAS
    2. 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.
    3. 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.
    4. 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).
    Full references (including those not matched with items on IDEAS)

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ame:wpaper:1305. 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: (Noud P.A. van Giersbergen). General contact details of provider: http://edirc.repec.org/data/feuvanl.html .

    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 CitEc recognized a reference but did not link an item in RePEc 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.