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ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN I (2) SYSTEMS

Published online by Cambridge University Press:  01 August 2000

Paolo Paruolo
Paolo Paruolo
Affiliation:
University of Insubria
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Abstract

This paper derives the distribution of the two stage estimator of cointegrating parameters in I(2) systems, abbreviated 2SI2, under several assumptions regarding the drift of the process. The asymptotic distribution is compared with that of the maximum likelihood (ML) estimator derived in Johansen (1997, Scandinavian Journal of Statistics 24, 433–462). It is found that the two asymptotic distributions are the same, thus showing that the 2SI2 estimator is asymptotically as efficient as ML.

Type
Research Article
Information
Econometric Theory , Volume 16 , Issue 4 , August 2000 , pp. 524 - 550
Copyright
© 2000 Cambridge University Press

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