Publication Type
Journal Article
Version
submittedVersion
Publication Date
4-2025
Abstract
This paper shows that the mixed normal asymptotic limit of the trend IV estimator with a fixed number of deterministic instruments (fTIV) holds in both singular (multicointegrated) and nonsingular cointegration systems, thereby relaxing the exogeneity condition in (Phillips and Kheifets, 2024, Theorem 1(ii)). The mixed normality of the limiting distribution of fTIV allows for asymptotically pivotal F and t tests about the cointegration parameters and for simple efficiency comparisons of the estimators for different numbers K of instruments, as well as comparisons with the trend IV estimator when K→∞ with the sample size.
Keywords
Asymptotic F test, Cointegration, Fixed-K asymptotics, Long-run variance, Multicointegration, Singularity, Trend instrumental variable estimation
Discipline
Econometrics
Publication
Economics Letters
Volume
250
First Page
1
Last Page
6
ISSN
0165-1765
Identifier
10.1016/j.econlet.2025.112297
Publisher
Elsevier
Citation
SUN, Yixiao; PHILLIPS, Peter C. B.; and KHEIFETS, Igor L..
Estimation and inference in a possibly multicointegrated system with a fixed number of instruments. (2025). Economics Letters. 250, 1-6.
Available at: https://ink.library.smu.edu.sg/soe_research/2803
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1016/j.econlet.2025.112297