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CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS

Published online by Cambridge University Press:  03 March 2001

Pentti Saikkonen
Affiliation:
University of Helsinki

Abstract

This paper studies the consistency of the Gaussian maximum likelihood estimator in a cointegrated vector autoregressive model with nonlinear time trends in cointegrating relations. The results are proved in a coordinate free framework that readily allows for general nonlinear parameter restrictions and makes it possible to show the consistency of reduced form parameter estimators without assuming identifiability of underlying structural parameters. Various consistency results for structural parameter estimators can then be obtained by imposing suitable identification conditions for the parameters of interest but not necessarily for nuisance parameters. Orders of consistency are also obtained because they are needed to develop a related asymptotic theory of statistical inference.

Type
Research Article
Copyright
© 2001 Cambridge University Press

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