Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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EFFICIENT ESTIMATION OF THE COINTEGRATING VECTOR IN ERROR CORRECTION MODELS WITH STATIONARY COVARIATES

  • Published : 2005.12.01
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Abstract

This paper considers the cointegrating vector estimator in the error correction model with stationary covariates, which combines the stationary vector autoregressive model and the nonstationary error correction model. The cointegrating vector estimator is shown to follow the locally asymptotically mixed normal distribution. The variance of the estimator depends on the co­variate effect of stationary regressors, and the asymptotic efficiency improves as the magnitude of the covariate effect increases. An economic application of the money demand equation is provided.

Keywords

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