ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN I (2) SYSTEMS

Paolo Paruolo

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Monetary Policy and Economic Impact Statistical and numerical algorithms Diverse Scientific and Economic Studies

Abstract

This paper derives the distribution of the two stage estimator of cointegrating parameters in I(2) systems, abbreviated 2SI2, under several assumptions regarding the drift of the process. The asymptotic distribution is compared with that of the maximum likelihood (ML) estimator derived in Johansen (1997, Scandinavian Journal of Statistics 24, 433–462). It is found that the two asymptotic distributions are the same, thus showing that the 2SI2 estimator is asymptotically as efficient as ML.

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1988Statistical analysis of cointegration vectors 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems 1996Co-Integration, Error Correction, and the Econometric Analysis of Non- Stationary Data.1993Long-Run Economic Relationships: Readings in Cointegration.1986Multiple Time Series Regression with Integrated Processes 1992A Representation of Vector Autoregressive Processes Integrated of Order 2

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