Document Type
Discussion Paper
Publication Date
12-1-1992
CFDP Number
1040
CFDP Pages
20
Abstract
It is shown that the fully modified ordinary least squares (FM-OLS) estimator of a unit root in time series regression is T 3 /2 -consistent. Relative to FM-OLS, therefore, the least squares and maximum likelihood estimators are infinitely deficient asymptotically. Simulations show that this dominance of FM-OLS persists even in small samples.
Recommended Citation
Phillips, Peter C.B., "Hyper-Consistent Estimation of a Unit Root in Time Series Regression" (1992). Cowles Foundation Discussion Papers. 1283.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/1283