Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5097480 | Journal of Econometrics | 2006 | 37 Pages |
Abstract
We consider the estimation of a structural vector autoregressive model of nonstationary and possibly cointegrated variables without the prior knowledge of unit roots or rank of cointegration. We propose two modified two-stage least-squares estimators that are consistent and have limiting distributions that are either normal or mixed normal. Limited Monte Carlo studies are also conducted to evaluate their finite sample properties.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Cheng Hsiao, Siyan Wang,