Reparameterization and Estimation in Unit Root Equations
Reparameterization is common in econometrics with early examples in the form of Koyck transformations that started in the 1950s. Reparameterization can produce interesting models for estimation and inference. The paper specifically looks at reparameterization in unit root equations, and provides some results of OLS and improved estimation for comparative purposes. Surprisingly, the dominance of the positive Stein-rule and 2SHI estimators over the OLS uniformly holds in the level case, and more so in the difference case. The implication is that, for estimation of unit root equations, the OLS is suboptimal.
|Date of creation:||01 Mar 1993|
|Contact details of provider:|| Postal: Voie du Roman Pays 34, 1348 Louvain-la-Neuve (Belgium)|
Fax: +32 10474304
Web page: http://www.uclouvain.be/core
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:cor:louvco:1993024. 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: (Alain GILLIS)
If references are entirely missing, you can add them using this form.