A1089
Title: IM estimation and (fixed-b) inference for systems of cointegrating multivariate polynomial regressions
Authors: Martin Wagner - University of Klagenfurt and Institute for Advanced Studies, Vienna (Austria) [presenting]
Abstract: Integrated modified ordinary and generalized least squares estimation are considered for systems of cointegrating multivariate polynomial regressions, i.e., systems of regressions that include deterministic variables, integrated processes, and products of non-negative integer powers of these variables as regressors. The stationary errors are allowed to be correlated across equations, over time, and with the regressors. The necessity to consider integrated modified generalized least squares estimation arises in the case of estimation under restrictions, which in general implies that ordinary and generalized least squares estimators cease to be identical. Hypothesis testing is discussed in detail for the unrestricted and restricted estimators. Furthermore, asymptotically pivotal fixed-b inference is developed, which is shown to be available only in the case of full design for up-to-the-intercept-identical hypotheses tested in all equations in systems with identical regressors in all equations.
