Template-Type: ReDIF-Paper 1.0
Author-Name: Kleibergen, F.R.
Author-Name-Last: Kleibergen
Author-Name-First: Frank
Author-Person: pkl31
Author-Name: Franses, Ph.H.B.F.
Author-Name-Last: Franses
Author-Name-First: Philip Hans
Author-Person: pfr226
Title: Cointegration in a periodic vector autoregression
Abstract: We consider representation, estimation and inference on cointegration in a (PVAR). We show that cointegration amounts to a restriction on a product of parameter matrices.
 We therefore use GMM to construct estimators of the long-run (cointegration) parameters and to obtain test statistics for cointegration.
 We show that the limiting distributions of the GMM estimators and the corresponding test statistics in a PVAR are identical to those of the
 maximum likelihood cointegration estimators and test statistics in standard nonperiodic VAR models.
Creation-Date: 1999-01-01
File-URL: https://repub.eur.nl/pub/1561/feweco19990330155047.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 9906-/A
Keywords: GMM, VAR model, periodic vector autoregressive time series model
Handle: RePEc:ems:eureir:1561