ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN I (2) SYSTEMS
ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN I (2) SYSTEMS
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DOI：
10.1017/s0266466600164035
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发表时间：
2000-08
影响因子：
0.8
通讯作者：
P. Paruolo
中科院分区：
文献类型：
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作者：
P. Paruolo
本文在几个关于过程漂移的假设下，得到了I(2)系统中协整参数的两阶段估计的分布。将该渐近分布与Johansen(1997，《斯堪的纳维亚统计杂志》24,433-462)中导出的最大似然(ML)估计的渐近分布进行了比较。结果表明，这两个渐近分布是相同的，从而说明2SI2估计的渐近有效性与最大似然估计相同。
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.