01697cam a22002417 4500001000600000003000500006005001700011008004100028100002000069245013500089260006600224490005100290500001900341520070500360530006101065538007201126538003601198700002001234710004201254830008601296856003701382856003601419t0083NBER20151005070607.0151005s1989 mau||||fs|||| 000 0 eng d1 aStock, James H.12aA Simple MLE of Cointegrating Vectors in Higher Order Integrated Systemsh[electronic resource] /cJames H. Stock, Mark W. Watson. aCambridge, Mass.bNational Bureau of Economic Researchc1989.1 aNBER technical working paper seriesvno. t0083 aDecember 1989.3 aAn MLE of the unknown parameters of co integrating vectors is presented for systems in which some variables exhibit higher orders of integration, in which there might be deterministic components, and in which the co integrating vector itself might involve variables of differing orders of integration. The estimator is simple to compute: it can be calculated by running GLS for standard regression equations with serially correlated errors. Alternatively, an asymptotically equivalent estimator can be computed using OLS. Usual Wald test statistics based on these MLE's (constructed using an autocorrelation robust covariance matrix in the case of the OLS estimator) have asymptotic x2 distributions. aHardcopy version available to institutional subscribers. aSystem requirements: Adobe [Acrobat] Reader required for PDF files. aMode of access: World Wide Web.1 aWatson, Mark W.2 aNational Bureau of Economic Research. 0aTechnical Working Paper Series (National Bureau of Economic Research)vno. t0083.4 uhttp://www.nber.org/papers/t008341uhttp://dx.doi.org/10.3386/t0083