ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN I (2) SYSTEMS
推导了I(2)系统中协整参数两阶段估计量的分布，并与极大似然估计量比较，发现两者渐近分布相同，表明该估计量渐近有效。
This paper derives the distribution of the two stage estimator of cointegrating parameters in I (2) systems, abbreviated 2SI2, under several assumptions regarding the drift of the process. The asymptotic distribution is compared with that of the maximum likelihood (ML) estimator derived in Johansen (1997, Scandinavian Journal of Statistics 24, 433–462). It is found that the two asymptotic distributions are the same, thus showing that the 2SI2 estimator is asymptotically as efficient as ML.