TY - JOUR
AU - Stock,James H.
AU - Watson,Mark W.
TI - A Simple MLE of Cointegrating Vectors in Higher Order Integrated Systems
JF - National Bureau of Economic Research Technical Working Paper Series
VL - No. 83
PY - 1989
Y2 - December 1989
DO - 10.3386/t0083
UR - http://www.nber.org/papers/t0083
L1 - http://www.nber.org/papers/t0083.pdf
N1 - Author contact info:
James H. Stock
Department of Economics
Harvard University
Littauer Center M27
Cambridge, MA 02138
Tel: 617/496-0502
Fax: 617/495-7730
E-Mail: James_Stock@harvard.edu
Mark W. Watson
Department of Economics
Princeton University
Princeton, NJ 08544-1013
Tel: 609/258-4811
Fax: 609/258-5533
E-Mail: mwatson@princeton.edu
AB - An 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.
ER -