Park, Suk K.; Ahn, Sung K.; Cho, Sinsup - In: Computational Statistics & Data Analysis 55 (2011) 9, pp. 2605-2618
In this study, a generalized method of moments (GMM) for the estimation of nonstationary vector autoregressive models with cointegration is considered. Two iterative methods are considered: a simultaneous estimation method and a switching estimation method. The asymptotic properties of the GMM...