Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors
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| Publication date | 2014 |
| Journal | Economics Letters |
| Volume | Issue number | 122 | 2 |
| Pages (from-to) | 224-228 |
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| 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. |
| Document type | Article |
| Language | English |
| Published at | https://doi.org/10.1016/j.econlet.2013.12.003 |
| Downloads |
VanGarderenBoswijk2014AuthorsVersion.pdf
(Accepted author manuscript)
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