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The Marginal Density of Bivariate Cointegration Estimators

Author

Listed:
  • Abadir, Karim
  • Paruolo, P.

Abstract

The limiting marginal density of efficient estimators of bivariate cointegration vectors is derived in closed form. The formula is exact, and it consists of highly efficient convergent expansion. It is used to plot the density. Furthermore, it is manipulated analytically to reveal features that could not be uncovered by Monte Carlo. For example, it is demonstrated that moments of any integer order exist, and the derived unconditional (marginal) density is compared to the conditional one which is normal.

Suggested Citation

  • Abadir, Karim & Paruolo, P., 1994. "The Marginal Density of Bivariate Cointegration Estimators," Discussion Papers 9405, University of Exeter, Department of Economics.
    • Handle: RePEc:exe:wpaper:9405
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    Cited by:

    1. Gabriel Pons Rotger, 2000. "Temporal Aggregation and Ordinary Least Squares Estimation of Cointegrating Regressions," Econometric Society World Congress 2000 Contributed Papers 1317, Econometric Society.

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