Efficient Estimation of the Cointegrating Vector in Error Correction Models with Stationary Covariates

다국어 초록 (Multilingual Abstract)

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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