A fully modified GLS estimator for multivariate cointegrating polynomial regressions, using a banded modified Cholesky inverse-covariance estimator, is derived and shown to improve finite-sample estimation and inference.
13 We conclude that ‖ ‖ ‖ˆMu(q)−Mu(q) ‖ ‖ ‖= Op (√ q3/T )
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Efficient Estimation by Fully Modified GLS with an Application to the Environmental Kuznets Curve
A fully modified GLS estimator for multivariate cointegrating polynomial regressions, using a banded modified Cholesky inverse-covariance estimator, is derived and shown to improve finite-sample estimation and inference.