Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
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DOI：
10.2307/1911260
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发表时间：
1987-09
期刊：
影响因子：
6.1
通讯作者：
J. Stock
中科院分区：
文献类型：
--
作者：
J. Stock
随机趋势的时间序列变量一起形成一个协整系统。对于任何正的d，协整向量参数的OLS和NLS估计在概率上以速率T11d收敛到真参数值。这些估计可以用不依赖于系统参数的相对简单的非正态随机矩阵渐近地表示。这些渐近表示构成了这些估计量的极限分布的简单而快速的蒙特卡罗计算的基础。计算得到的渐近分布是几个协整过程的表。1987年版权归计量经济学会所有。
Time series variables that stochastically trend together form a cointegrated system. OLS and NLS estimators of the parameters of a cointegrating vector are shown to converge in probability to the true parameter value at the rate T11d for any positive d. These estim mators can be written asymptotically in terms of relatively simple nonnormal random matrices which do not depend on the parameters of th e system. These asymptotic representations form the basis for simple and fast Monte Carlo calculations of the limiting distributions of th ese estimators. Asymptotic distributions thus computed are tabulated for several cointegrated processes. Copyright 1987 by The Econometric Society.