Instrumental Variables Estimation of Stationary and Non-Stationary Cointegrating Regressions  

Oleh:

Gerolimetto, M. ; Robinson, P.M.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 9 no. 2 (2006), page 291-306.
Topik: Instrumental variables; cointegration; instrumental variables estimation; I(d) processes
Fulltext: 291.pdf (196.39KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE39.2 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Instrumental variables estimation is classically employed to avoid simultaneous equations bias in a stable environment. Here we use it to improve upon ordinary least - squares estimation of cointegrating regressions between non - stationary and / or long memory stationary variables where the integration orders of regressor and disturbance sum to less than 1, as happens always for stationary regressors, and sometimes for mean - reverting non - stationary ones. Unlike in the classical situation, instruments can be correlated with disturbances and / or uncorrelated with regressors. The approach can also be used in traditional non - fractional cointegrating relations. Various choices of instrument are proposed. Finite sample performance is examined.

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