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GMM Estimation for Seasonal Cointegration
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 Title & Authors
GMM Estimation for Seasonal Cointegration
Park, Suk-Kyung; Cho, Sin-Sup; Seon, Byeong-Chan;
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 Abstract
This paper considers a generalized method of moments(GMM) estimation for seasonal cointegration as the extension of Kleibergen (1999). We propose two iterative methods for the estimation according to whether parameters in the model are simultaneously estimated or not. It is shown that the GMM estimator coincides in form to a maximum likelihood estimator or a feasible two-step estimator. In addition, we derive its asymptotic distribution that takes the same form as that in Ahn and Reinsel (1994).
 Keywords
Generalized method of moments estimation;vector error correction model;vector autoregressive model;
 Language
English
 Cited by
 References
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