The maximum likelihood estimator of the adjustment coefficient in a cointegrated vector autoregressive model (CVAR) is generally biased. For the case where the cointegrating vector is known in a first-order CVAR with no intercept, we derive a condition for the unbiasedness of the maximum...

Kourogenis and Pittis (2008) show that the presence of a variance shift implies that the OLS t-statistic in a triangular cointegrated model displays asymptotic size distortions. For the same model, this paper provides two simple solutions to the size problems, the first based on White (1980)...

This paper studies the model equation YT = [lambda]YT - 1 + [alpha]0XT + [alpha]1XT - 1 and its error-correction equivalent as a temporal aggregate of an underlying true equation in continuous time. Given a stylized fact about [alpha]0 / [alpha]1 we find that...