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Hyper-Consistent Estimation of a Unit Root in Time Series Regression

It is shown that the fully modified ordinary least squares (FM-OLS) estimator of a unit root in time series regression is T^{3/2}-consistent. Relative to FM-OLS, therefore, the least squares and maximum likelihood estimators are infinitely deficient asymptotically. Simulations show that this dominance of FM-OLS persists even in small samples.
Year of publication:
1992-11
Authors: Phillips, Peter C.B.
Institutions: Cowles Foundation for Research in Economics, Yale University
Subject: Fully modified least squares | hyper-consistent | unit root
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Language: English
Notes:
The price is None Number 1040 20 pages
Source:
Persistent link: https://www.econbiz.de/10005196030
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