Asymptotic properties of the estimator of the long-run coefficient in a dynamic model with integrated regressors and serially correlated errors

In this paper we examine the asymptotic properties of the estimator of the long-run coefficient (LRC) in a dynamic regression model with integrated regressors and serially correlated errors. We show that the OLS estimators of the regression coefficients are inconsistent but the OLS-based estimator of the LRC is superconsistent. Furthermore, we propose an alternative consistent estimator of the LRC, compare the two estimators through a Monte Carlo experiment, and Þnd that the proposed estimator is MSE-superior to the OLS-based estimator.