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Estimation and Inference in a Possibly Multi-cointegrated System with a Fixed Number of Instruments

Author

Listed:
  • Yixiao Sun

    (University of California, San Diego)

  • Peter C. B. Phillips

    (Yale University)

  • Igor L. Kheifets

    (University of North Carolina at Charlotte)

Abstract

This note shows that the mixed normal asymptotic limit of the trend IV estimator with a fixed number of deterministic instruments (fTIV) holds in both singular (multicointegrated) and nonsingular cointegration systems, thereby relaxing the exogeneity condition in (Phillips and Kheifets, 2024, Theorem 1(ii)). The mixed normality of the limiting distribution of fTIV allows for asymptotically pivotal F tests about the cointegration parameters and for simple efficiency comparisons of the estimators for different numbers K of instruments, as well as comparisons with the trend IV estimator when K → ∞ with the sample size.

Suggested Citation

  • Yixiao Sun & Peter C. B. Phillips & Igor L. Kheifets, 2024. "Estimation and Inference in a Possibly Multi-cointegrated System with a Fixed Number of Instruments," Cowles Foundation Discussion Papers 2410, Cowles Foundation for Research in Economics, Yale University.
    • Handle: RePEc:cwl:cwldpp:2410
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    File URL: https://cowles.yale.edu/sites/default/files/2024-10/d2410.pdf
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    References listed on IDEAS

    as
    1. Hwang, Jungbin & Sun, Yixiao, 2017. "Asymptotic F and t tests in an efficient GMM setting," Journal of Econometrics, Elsevier, vol. 198(2), pages 277-295.
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