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.

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Econometric Institute Research Papers
Erasmus School of Economics

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