Aarhus University Seal / Aarhus Universitets segl

A Gaussian IV estimator of cointegrating relations

Research output: Working paper/Preprint Working paperResearch

Standard

A Gaussian IV estimator of cointegrating relations. / Bårdsen, Gunnar; Haldrup, Niels.

2006.

Research output: Working paper/Preprint Working paperResearch

Harvard

APA

CBE

MLA

Vancouver

Author

Bibtex

@techreport{1a5f5dd0c95d11dabee902004c4f4f50,
title = "A Gaussian IV estimator of cointegrating relations",
abstract = "In static single equation cointegration regression modelsthe OLS estimator will have a non-standard distribution unless regressors arestrictly exogenous. In the literature a number of estimators have been suggestedto deal with this problem, especially by the use of semi-nonparametricestimators. Theoretically ideal instruments can be defined to ensure a limitingGaussian distribution of IV estimators, but unfortunately such instruments areunlikely to be found in real data. In the present paper we suggest an IV estimatorwhere the Hodrick-Prescott filtered trends are used as instruments forthe regressors in cointegrating regressions. These instruments are almost idealand simulations show that the IV estimator using such instruments alleviatethe endogeneity problem extremely well in both finite and large samples.",
author = "Gunnar B{\aa}rdsen and Niels Haldrup",
year = "2006",
language = "English",
type = "WorkingPaper",

}

RIS

TY - UNPB

T1 - A Gaussian IV estimator of cointegrating relations

AU - Bårdsen, Gunnar

AU - Haldrup, Niels

PY - 2006

Y1 - 2006

N2 - In static single equation cointegration regression modelsthe OLS estimator will have a non-standard distribution unless regressors arestrictly exogenous. In the literature a number of estimators have been suggestedto deal with this problem, especially by the use of semi-nonparametricestimators. Theoretically ideal instruments can be defined to ensure a limitingGaussian distribution of IV estimators, but unfortunately such instruments areunlikely to be found in real data. In the present paper we suggest an IV estimatorwhere the Hodrick-Prescott filtered trends are used as instruments forthe regressors in cointegrating regressions. These instruments are almost idealand simulations show that the IV estimator using such instruments alleviatethe endogeneity problem extremely well in both finite and large samples.

AB - In static single equation cointegration regression modelsthe OLS estimator will have a non-standard distribution unless regressors arestrictly exogenous. In the literature a number of estimators have been suggestedto deal with this problem, especially by the use of semi-nonparametricestimators. Theoretically ideal instruments can be defined to ensure a limitingGaussian distribution of IV estimators, but unfortunately such instruments areunlikely to be found in real data. In the present paper we suggest an IV estimatorwhere the Hodrick-Prescott filtered trends are used as instruments forthe regressors in cointegrating regressions. These instruments are almost idealand simulations show that the IV estimator using such instruments alleviatethe endogeneity problem extremely well in both finite and large samples.

M3 - Working paper

BT - A Gaussian IV estimator of cointegrating relations

ER -