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Modified Two Stage Least Squares Estimators for the Estimation of a Structural Vector Autoregressive Integrated Process

  • Cheng Hsiao
  • Siyan Wang

We consider the estimation of a structural vector autoregressive model of nonstationary and possibly cointegrated variables without the prior knowledge of unit roots or rank of cointegration. We propose two modified two stage least squares estimators that are consistent and have limiting distributions that are either normal or mixed normal. Limited Monte Carlo studies are also conducted to evaluate their finite sample properties.

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Paper provided by Institute of Economic Policy Research (IEPR) in its series IEPR Working Papers with number 05.23.

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Length: 36 pages
Date of creation: May 2005
Date of revision:
Handle: RePEc:scp:wpaper:05-23
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Web page: http://www.usc.edu/dept/LAS/economics/IEPR/

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  1. Yamada, Hiroshi & Toda, Hiro Y., 1998. "Inference in possibly integrated vector autoregressive models: some finite sample evidence," Journal of Econometrics, Elsevier, vol. 86(1), pages 55-95, June.
  2. Hsiao, Cheng, 2001. "Identification And Dichotomization Of Long- And Short-Run Relations Of Cointegrated Vector Autoregressive Models," Econometric Theory, Cambridge University Press, vol. 17(05), pages 889-912, October.
  3. Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-44, January.
  4. Phillips, Peter C B, 1995. "Fully Modified Least Squares and Vector Autoregression," Econometrica, Econometric Society, vol. 63(5), pages 1023-78, September.
  5. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  6. Robert G. King & Charles I. Plosser & James H. Stock & Mark W. Watson, 1987. "Stochastic Trends and Economic Fluctuations," NBER Working Papers 2229, National Bureau of Economic Research, Inc.
  7. N/A, 1969. "Gaming," Journal of Conflict Resolution, Peace Science Society (International), vol. 13(1), pages 102-102, March.
  8. Hiro Y. Toda & Peter C.B. Phillips, 1991. "Vector Autoregression and Causality," Cowles Foundation Discussion Papers 977, Cowles Foundation for Research in Economics, Yale University.
  9. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  10. N/A, 1969. "Gaming," Journal of Conflict Resolution, Peace Science Society (International), vol. 13(4), pages 485-486, December.
  11. Cheng Hsiao, 1997. "Statistical Properties of the Two-Stage Least Squares Estimator Under Cointegration," Review of Economic Studies, Oxford University Press, vol. 64(3), pages 385-398.
  12. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
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