WEKO3
アイテム
Asymptotic Properties of the Efficient Estimators for Cointegrating Regression Models with Serially Dependent Errors
http://hdl.handle.net/10086/13606
http://hdl.handle.net/10086/13606f4688379-083b-44ea-8bd2-156121cee2fd
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
D06-197.pdf (496957 bytes)
|
|
| アイテムタイプ | デフォルトアイテムタイプ（フル）その２(1) | |||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 公開日 | 2017-05-20 | |||||||||||||||||
| タイトル | ||||||||||||||||||
| タイトル | Asymptotic Properties of the Efficient Estimators for Cointegrating Regression Models with Serially Dependent Errors | |||||||||||||||||
| 言語 | en | |||||||||||||||||
| 作成者 |
黒住, 英司
× 黒住, 英司
WEKO
27
× 早川, 和彦
|
|||||||||||||||||
| 寄与者 | ||||||||||||||||||
| 寄与者タイプ | Editor | |||||||||||||||||
| 姓名 | 社会科学における統計分析拠点構築 = Research Unit for Statistical Analysis in Social Sciences | |||||||||||||||||
| 言語 | en | |||||||||||||||||
| アクセス権 | ||||||||||||||||||
| アクセス権 | open access | |||||||||||||||||
| アクセス権URI | http://purl.org/coar/access_right/c_abf2 | |||||||||||||||||
| 主題 | ||||||||||||||||||
| 主題Scheme | Other | |||||||||||||||||
| 主題 | Cointegration | |||||||||||||||||
| 主題 | ||||||||||||||||||
| 主題Scheme | Other | |||||||||||||||||
| 主題 | second-order bias | |||||||||||||||||
| 主題 | ||||||||||||||||||
| 主題Scheme | Other | |||||||||||||||||
| 主題 | fully modified regressions | |||||||||||||||||
| 主題 | ||||||||||||||||||
| 主題Scheme | Other | |||||||||||||||||
| 主題 | canonical cointegrating regressions | |||||||||||||||||
| 主題 | ||||||||||||||||||
| 主題Scheme | Other | |||||||||||||||||
| 主題 | dynamic ordinary least squares regressions | |||||||||||||||||
| 内容記述 | ||||||||||||||||||
| 内容記述タイプ | Abstract | |||||||||||||||||
| 内容記述 | In this paper, we analytically investigate three efficient estimators for cointegrating regression models: Phillips and Hansen's (1990) fully modified OLS estimator, Park's (1992) canonical cointegrating regression estimator, and Saikkonen's (1991) dynamic OLS estimator. First, by the Monte Carlo simulations, we demonstrate that these efficient methods do not work well when the regression errors are strongly serially correlated. In order to explain this result, we assume that the regression errors are generated from a nearly integrated autoregressive (AR) process with the AR coefficient approaching 1 at a rate of 1/T, where T is the sample size. We derive the limiting distributions of the three efficient estimators as well as the OLS estimator and show that they have the same limiting distribution under this assumption. This implies that the three efficient methods no longer work well when the regression errors are strongly serially correlated. Further, we consider the case where the AR coefficient in the regression errors approaches 1 at a rate slower than 1/T. In this case, the limiting distributions of the efficient estimators depend on the approaching rate. If the rate is slow enough, the efficiency is established for the three estimators; however, if the approaching rate is relatively fast, they have the same limiting distribution as the OLS estimator. This result explains why the effect of the efficient methods diminishes as the serial correlation in the regression errors gets stronger. | |||||||||||||||||
| 言語 | en | |||||||||||||||||
| 出版者 | ||||||||||||||||||
| 出版者 | Institute of Economic Research, Hitotsubashi University | |||||||||||||||||
| 日付 | ||||||||||||||||||
| 日付 | 2006-12 | |||||||||||||||||
| 日付タイプ | Issued | |||||||||||||||||
| 言語 | ||||||||||||||||||
| 言語 | eng | |||||||||||||||||
| 資源タイプ | ||||||||||||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||||||||||||||
| 資源タイプ | technical report | |||||||||||||||||
| 出版タイプ | ||||||||||||||||||
| 出版タイプ | VoR | |||||||||||||||||
| 出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||||||||||||||
| 関連情報 | ||||||||||||||||||
| 関連タイプ | isPartOf | |||||||||||||||||
| 関連名称 | Hi-Stat Discussion paper series, No. 197 | |||||||||||||||||
| Sponsorship | ||||||||||||||||||
| 値 | 21世紀COEプログラム = 21st-Century COE Program | |||||||||||||||||
| JEL | ||||||||||||||||||
| 値 | C13 | |||||||||||||||||
| JEL | ||||||||||||||||||
| 値 | C22 | |||||||||||||||||
