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.

GMM, VAR model, periodic vector autoregressive time series model
hdl.handle.net/1765/1561
Econometric Institute Research Papers
Erasmus School of Economics

Kleibergen, F.R, & Franses, Ph.H.B.F. (1999). Cointegration in a periodic vector autoregression (No. EI 9906-/A). Econometric Institute Research Papers. Retrieved from http://hdl.handle.net/1765/1561