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A Simple MLE of Cointegrating Vectors in Higher Order Integrated Systems / James H. Stock, Mark W. Watson.
- Format:
- Book
- Author/Creator:
- Stock, James H.
- Series:
- Technical Working Paper Series (National Bureau of Economic Research) no. t0083.
- NBER technical working paper series no. t0083
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1989.
- Summary:
- An MLE of the unknown parameters of co integrating vectors is presented for systems in which some variables exhibit higher orders of integration, in which there might be deterministic components, and in which the co integrating vector itself might involve variables of differing orders of integration. The estimator is simple to compute: it can be calculated by running GLS for standard regression equations with serially correlated errors. Alternatively, an asymptotically equivalent estimator can be computed using OLS. Usual Wald test statistics based on these MLE's (constructed using an autocorrelation robust covariance matrix in the case of the OLS estimator) have asymptotic x2 distributions.
- Notes:
- Print version record
- December 1989.
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