IDEAS home Printed from https://ideas.repec.org/p/cwl/cwldpp/2463.html
   My bibliography  Save this paper

Optimal Estimation In A Multicointegrated System

Author

Listed:
  • Igor L. Kheifets

    (UNC Charlotte)

  • Peter C. B. Phillips

    (Yale University)

Abstract

Optimal estimation is explored in long run relations that are modeled within a semiparametric triangular multicointegrated system. In nonsingular cointegrated systems, where there is no multicointegration, optimal estimation is well understood (Phillips, 1991a). This paper establishes corresponding optimal results for singular systems, thereby accommodating a wide class of multicointegrated nonstationary time series with nonparametric transient dynamics. The optimality and sub-optimality of existing estimators are considered and new optimal estimators of both the cointegrating and multicointegrating coefficients are introduced that are based on spectral regression.

Suggested Citation

  • Igor L. Kheifets & Peter C. B. Phillips, 2025. "Optimal Estimation In A Multicointegrated System," Cowles Foundation Discussion Papers 2463, Cowles Foundation for Research in Economics, Yale University.
    • Handle: RePEc:cwl:cwldpp:2463
    as

    Download full text from publisher

    File URL: https://cowles.yale.edu/sites/default/files/2025-09/d2463.pdf
    Download Restriction: no
    ---><---

    More about this item

    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:cwl:cwldpp:2463. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Brittany Ladd (email available below). General contact details of provider: https://edirc.repec.org/data/cowleus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.