Optimal Estimation of Cointegrated Systems with Irrelevant Instruments

Optimal Estimation of Cointegrated Systems with Irrelevant Instruments

It has been known since Phillips and Hansen (1990) that cointegrated systems can be consistently estimated using stochastic trend instruments that are independent of the system variables. A similar phenomenon occurs with deterministically trending instruments. The present work shows that such "...

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Bibliographic Details
Main Author: PHILLIPS, Peter C. B.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2014
Subjects:
Asymptotic efficiency
Cointegrated system
Coverage probability
Instrumental variables
Irrelevant instrument
Karhunen-Loeve representation
Optimal estimation
Orthonormal basis
Sieve estimation of stochastic processes
Trend basis
Trend likelihood
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1829
https://ink.library.smu.edu.sg/context/soe_research/article/2828/viewcontent/OptimalEstimationCointegratedSystemsIrrelevantInstruments_2014.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1829
https://ink.library.smu.edu.sg/context/soe_research/article/2828/viewcontent/OptimalEstimationCointegratedSystemsIrrelevantInstruments_2014.pdf

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