M-estimation for regressions with integrated regressors and ARMA errors

Dong Wan Shin; Oesook Lee

doi:10.1046/j.0143-9782.2003.00350.x

M-estimation for regressions with integrated regressors and ARMA errors

Dong Wan Shin, Oesook Lee

Department of Statistics

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

General M-estimation is developed for regression models with integrated regressors and autoregressive moving average (ARMA) errors, in which the ARMA parameters are jointly estimated with the regression parameters. The large sample distribution of the M-estimator is derived. Allowing the regressors to be dependent on the error terms, a parametric 'fully modified' (FM) M-estimator is proposed. In cases of ARMA errors, a Monte-Carlo experiment reveals superiority of the parametric estimators over the semiparametric FM M-estimator of Phillips Econometric Theory 11 (1995, p 912) in terms of empirical mean squared error.

Original language	English
Pages (from-to)	283-299
Number of pages	17
Journal	Journal of Time Series Analysis
Volume	25
Issue number	2
DOIs	https://doi.org/10.1046/j.0143-9782.2003.00350.x
State	Published - Mar 2004

Keywords

ARMA process
Efficiency
Endogeneity
Fully modified estimator
M-estimation
Serial correlation

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10.1046/j.0143-9782.2003.00350.x

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AB - General M-estimation is developed for regression models with integrated regressors and autoregressive moving average (ARMA) errors, in which the ARMA parameters are jointly estimated with the regression parameters. The large sample distribution of the M-estimator is derived. Allowing the regressors to be dependent on the error terms, a parametric 'fully modified' (FM) M-estimator is proposed. In cases of ARMA errors, a Monte-Carlo experiment reveals superiority of the parametric estimators over the semiparametric FM M-estimator of Phillips Econometric Theory 11 (1995, p 912) in terms of empirical mean squared error.

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KW - Efficiency

KW - Endogeneity

KW - Fully modified estimator

KW - M-estimation

KW - Serial correlation

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M-estimation for regressions with integrated regressors and ARMA errors

Abstract

Keywords

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