Chapter

Asymptotic Properties of the Estimators

Søren Johansen

in Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Published in print December 1995 | ISBN: 9780198774501
Published online November 2003 | e-ISBN: 9780191596476 | DOI: http://dx.doi.org/10.1093/0198774508.003.0013

Series: Advanced Texts in Econometrics

 							Asymptotic Properties of the Estimators

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The asymptotic properties of the estimators for adjustment coefficients and cointegrating relations are derived under the assumption that they have been estimated unrestrictedly. We show that the asymptotic distribution of the estimator for the cointegrating relations is mixed Gaussian, and also give the distribution under identifying restrictions.

Keywords: adjustment coefficients; asymptotic distribution; cointegrating relations; identifying restrictions; mixed Gaussian distribution

Chapter.  12515 words. 

Subjects: Econometrics and Mathematical Economics

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