van Garderen, Kees Jan; Boswijk, H. Peter - Faculteit Economie en Bedrijfskunde, Universiteit van … - 2013
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...