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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국통계학회 JKSS(Journal of the Korean Statistical Society) Journal of the Korean Statistical Society 제34권 제4호
- 발행연도
- 2005.1
- 수록면
- 345 - 366 (22page)
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This paper considers the cointegrating vector estimator in the error correction model with stationary covariates, which combines the stationary vector autoregressive model and the nonstationary error correction model. The cointegrating vector estimator is shown to follow the locally asymptotically mixed normal distribution. The variance of the estimator depends on the covariate effect of stationary regressors, and the asymptotic efficiency improves as the magnitude of the covariate effect increases. An economic application of the money demand equation is provided.
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