Analysis of cointegration vectors using the GMM approach
将Johansen的协整向量极大似然估计推广到广义矩方法（GMM），提出了完全修正GMM估计及其秩检验，该检验在特定条件下服从标准卡方分布。
This paper generalizes Johansen's (1988) maximum likelihood approach of the analysis of cointegrating vectors to the generalized method of moments (GMM) approach. We derive the asymptotic distribution of the cointegration vectors estimated from the fully modified generalized method of moments (FM-GMM) estimation procedure. We also introduce the FM-GMM version of Johansen's (1988) likelihood ratio (LR) test for the rank of a cointegrating matrix. Unlike the LR test which has a nonstandard unit root distribution, the FM-GMM rank test has a standard χ2 distribution when the set of instruments differs from the set of regressors and when a particular form of the weight matrix is used in estimation. The form of this weight matrix corresponds to that of the optimal weight matrix of Hansen (1982) for efficient GMM estimation.