| Authors |
|
| Publication date |
2013
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| Series |
UvA-Econometrics Discussion Paper, 2013-05
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| Number of pages |
8
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| Publisher |
Amsterdam: University of Amsterdam
|
| Organisations |
-
Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
|
| Abstract |
The maximum likelihood estimator of the adjustment coefficient in a cointegrated vector autoregressive model (CVAR) is generally biased. For the case where the cointegrating vector is known in a first-order CVAR with no intercept, we derive a condition for the unbiasedness of the maximum likelihood estimator of the adjustment coefficients, and provide a simple characterization of the bias in case this condition is violated. A feasible bias correction method is shown to virtually eliminate the bias over a large part of the parameter space.
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| Document type |
Working paper
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| Note |
June 4, 2013
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| Language |
English
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| Published at |
http://aseri.uva.nl/binaries/content/assets/subsites/amsterdam-school-of-economics-research-institute/uva-econometrics/dp-2013/1305.pdf
|
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