Adaptive estimation of cointegrated models: simulation evidence and an application to the forward exchange market
通过蒙特卡洛模拟和实证数据，比较了自适应估计量在协整系统中的有限样本表现，并应用于远期外汇市场无偏性回归的估计。
The paper reports simulation and empirical evidence on the finite-sample performance of adaptive estimators in cointegrated systems. Adaptive estimators are asymptotically efficient, even when the shape of the likelihood function is unknown. We consider two representations of cointegrated systems—triangular cointegrating regressions and error correction models. The motivation for and advantages of adaptive estimators in such systems are discussed and their construction is described. We report results from the estimation of a forward exchange market unbiasedness regression using the adaptive and competing estimators, and provide related Monte Carlo simulation evidence on the performance of the estimators. Copyright © 1999 John Wiley & Sons, Ltd.