Title

Hyper-Consistent Estimation of a Unit Root in Time Series Regression

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.

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