Franses, Ph.H.B.F.; Kleibergen, F.R. - Econometrisch Instituut, Faculteit der Economische … - 1999
to construct estimators of the long-run (cointegration) parameters and to obtain test statistics for cointegration. We … show that the limiting distributions of the GMM estimators and the corresponding test statistics in a PVAR are identical to … those of the maximum likelihood cointegration estimators and test statistics in standard nonperiodic VAR models. …