Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors By

@inproceedings{Stock2009AsymptoticPO,
  title={Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors By},
  author={James H. Stock},
  year={2009}
}
Time series variables that stochastically trend together form a cointegrated system. In such systems, certain linear combinations of contemporaneous values of these variables have a lower order of integration than does each variable considered individually. These linear combinations are given by cointegrating vectors. OLS and NLS estimators of the parameters of a cointegrating vector are shown to converge in probability to their true values at the rate T1-8 for any positive 8. These estimators… CONTINUE READING
Highly Influential
This paper has highly influenced 10 other papers. REVIEW HIGHLY INFLUENTIAL CITATIONS
Highly Cited
This paper has 109 citations. REVIEW CITATIONS

From This Paper

Figures, tables, and topics from this paper.

Citations

Publications citing this paper.

109 Citations

051015'09'12'15'18
Citations per Year
Semantic Scholar estimates that this publication has 109 citations based on the available data.

See our FAQ for additional information.

References

Publications referenced by this paper.
Showing 1-10 of 13 references

The Statistical Analysis of Time Series

  • T W.
  • 1971
Highly Influential
8 Excerpts

Convergence of Probability Measures

  • 1986

" Testing for Unit Roots in Seasonal Time Series

  • R. F. ENGLE, C. W. J. GRANGER
  • Journal of the American Statistical Association
  • 1984

Cointegrated Variables and Error-Correcting Models," University of California-San Diego Discussion Paper 83-13

  • W J.C.
  • 1983

" Trends and Random Walks in Macroeconomic Time Series : Some Evidence and Implications

  • P. C. B. PHILLIPS
  • 1982

" Distribution of the Estimators for Autoregressive Time Series With a Unit Root

  • D. A. DICKEY, D. P. HASZA, W. A. FULLER
  • 1979

Asymptotic Distribution of an Estimator of the Boundary Parameter of an Unstable Process,

  • M RAOM.
  • Annals of Statistics,
  • 1978

Econometric Modelling of the Aggregate Time-Series Relationship Between Consumer's Expenditure and Income in the United Kingdom,

  • H J.E., D. F. HENDRY, F. SRBA, S. YEO
  • Economic Journal,
  • 1978
1 Excerpt

Introduction to Statistical Time Series

  • W A.
  • 1976

Similar Papers

Loading similar papers…