caa a22 4500 477092187 CHVBK 20180405111518.0 cr unu---uuuuu 170330e19960401xx s 000 0 eng 10.1007/BF02589581 doi (NATIONALLICENCE)springer-10.1007/BF02589581 Fully modified estimation of cointegrating vectors via var prewhitening: A simulation study [Elektronische Daten] [Nunzio Cappuccio, Diego Lubian] Summary: In this paper we investigate, by simulation methods, the finite samples properties of the Fully Modified Least Squares (FMLS) estimator of cointegrating vectors when the long run covariance matrix is estimated via VAR prewhitening. We compare this estimator to the FMLS estimator based on an automatic or a fixed bandwidth kernel estimator of the long run covariance matrix. By and large, FMLS estimator based on VAR prewhitening perform better than FMLS based on fixed bandwidth or automatic bandwidth, with the latter behaving almost in the same way in finite samples. More importantly, the empirical distribution of a Wald test statistic built from VAR prewhitened FMLS is closer to the asymptoticχ 2 distribution than those obtained from alternative kernel estimators. Thus, our findings strongly favor the use of VAR prewhitening in the FM correction of the OLS estimator. Società Italiana di Statistica, 1996 Cointegration nationallicence Fully Modified Estimation nationallicence Consistent Covariance Matrix Estimation nationallicence Prewhitening nationallicence Monte Carlo nationallicence Cappuccio Nunzio Department of Economics, University of Padova, via del Santo 22, 35123, Padova, Italy aut Lubian Diego Department of Economics, University of Padova, via del Santo 22, 35123, Padova, Italy aut Journal of the Italian Statistical Society Springer-Verlag 5/1(1996-04-01), 13-37 1121-9130 5:1<13 1996 5 10260 https://doi.org/10.1007/BF02589581 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/BF02589581 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Cappuccio Nunzio Department of Economics, University of Padova, via del Santo 22, 35123, Padova, Italy aut NATIONALLICENCE 700 1- Lubian Diego Department of Economics, University of Padova, via del Santo 22, 35123, Padova, Italy aut NATIONALLICENCE 773 0- Journal of the Italian Statistical Society Springer-Verlag 5/1(1996-04-01), 13-37 1121-9130 5:1<13 1996 5 10260 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer