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
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