Skip to main content

Alternative estimators of cointegrating parameters in models with nonstationary data: an application to US export demand

Buy Article:

$55.00 plus tax (Refund Policy)

Abstract:

This article presents Monte Carlo simulations which compare the empirical performance of two alternative single equation estimators of the equilibrium parameters in a dynamic relationship. The estimators considered are Stock and Watson's Dynamic Ordinary Least Squares (DOLS) estimator and Bewley's transformation of the general autoregressive distributed lag model. The results indicate that the Bewley transformation produces a lower mean-square error as well as superior serial correlation properties even with lower truncation lags for the lagged variables included in the estimation equation. An application is then provided which examines the nature of the equilibrium relationship between aggregate US exports, world trade and the US real exchange rate. This confirms that estimation of the equilibrium parameters of this relationship by the Bewley transformation produces results which are superior to estimation by DOLS.

Keywords: Bewley transformation; C12; C15; DOLS estimator; US exports; superconsistency

Document Type: Research Article

DOI: https://doi.org/10.1080/00036846.2011.608647

Affiliations: 1: Department of Finance and Operations Management, Isenberg School of Management,University of Massachussetts, AmherstMA, USA 2: Department of Economics,Loughborough University, Loughborough LE11 3TU, UK

Publication date: 2013-02-01

More about this publication?
  • Access Key
  • Free ContentFree content
  • Partial Free ContentPartial Free content
  • New ContentNew content
  • Open Access ContentOpen access content
  • Partial Open Access ContentPartial Open access content
  • Subscribed ContentSubscribed content
  • Partial Subscribed ContentPartial Subscribed content
  • Free Trial ContentFree trial content
Cookie Policy
X
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more