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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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2014
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| 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 |