NORMAL ESTIMATORS FOR COINTEGRATING RELATIONSHIPS

Authors
LAROQUE G SALANIE B
Citation
G. Laroque et B. Salanie, NORMAL ESTIMATORS FOR COINTEGRATING RELATIONSHIPS, Economics letters, 55(2), 1997, pp. 185-189
Citations number
7
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
55
Issue
2
Year of publication
1997
Pages
185 - 189
Database
ISI
SICI code
0165-1765(1997)55:2<185:NEFCR>2.0.ZU;2-8
Abstract
This paper proposes a strategy for estimating cointegrating relationsh ips based on the first-differenced final form. We show that our proced ure yields estimators of all parameters that are consistent and asympt otically normal when the model contains no constants or trends. (C) 19 97 Elsevier Science S.A.