IDEAS home Printed from https://ideas.repec.org/a/oup/restud/v64y1997i3p385-398..html
   My bibliography  Save this article

Statistical Properties of the Two-Stage Least Squares Estimator Under Cointegration

Author

Listed:
  • Cheng Hsiao

Abstract

We derive the limiting properties of the two-stage least squares estimator of an equation in a dynamic simultaneous model when variables are nonstationary and cointegrated. The implication on hypothesis testing is also discussed. It is shown that in a structural equation approach what one needs to worry about are the classical issues of identification and estimation, not nonstationarity and cointegration. Conventional formulae for computing the asymptotic covariance of the 2SLS estimator and the Wald-type test statistics remain good approximations despite the fact that variables may be integrated.

Suggested Citation

  • Cheng Hsiao, 1997. "Statistical Properties of the Two-Stage Least Squares Estimator Under Cointegration," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 64(3), pages 385-398.
    • Handle: RePEc:oup:restud:v:64:y:1997:i:3:p:385-398.
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.2307/2971719
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:restud:v:64:y:1997:i:3:p:385-398.. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Oxford University Press (email available below). General contact details of provider: https://academic.oup.com/restud .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.