Kurozumi, Eiji; Hayakawa, Kazuhiko - Institute of Economic Research, Hitotsubashi University - 2006
In this paper, we analytically investigate three efficient estimators for cointegrating regression models: Phillips and Hansen's (1990) fully modified OLS estimator, Park's (1992) canonical cointegrating regression estimator, and Saikkonen's (1991) dynamic OLS estimator. First, by the Monte...
