Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/92565
Authors: 
Maekawa, Koichi
MacAleer, Michael
He, Zonglu
Year of Publication: 
2001
Series/Report no.: 
ISER Discussion Paper, Institute of Social and Economic Research, Osaka University 538
Abstract: 
In this paper we examine the asymptotic properties of the estimator of the long-run coefficient (LRC) in a dynamic regression model with integrated regressors and serially correlated errors. We show that the OLS estimators of the regression coefficients are inconsistent but the OLS-based estimator of the LRC is superconsistent. Furthermore, we propose an alternative consistent estimator of the LRC, compare the two estimators through a Monte Carlo experiment, and þnd that the proposed estimator is MSE-superior to the OLS-based estimator.
JEL: 
C13
C15
C22
Document Type: 
Working Paper

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