The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Jan, 1994, Volume 62, Issue 1
https://doi.org/0012-9682(199401)62:1<73:SEDTFM>2.0.CO;2-H
p. 73-93
Peter C. B. Phillips
This paper derives some exact finite sample distributions and characterizes the tail behavior of maximum likelihood estimators of the cointegrating coefficients in error correction models. It is shown that the reduced rank regression estimator has a distribution with Cauchy-like tails and no finite moments of integer order. The maximum likelihood estimator of the coefficients in a particular triangular system representation is studied and shown to have matrix $t$-distribution tails with finite integer moments to order $T - n + r$ where $T$ is the sample size, $n$ is the total number of variables in the system, and $r$ is the dimension of the cointegration space. These results help to explain some recent simulation studies where extreme outliers are found to occur more frequently for the reduced rank regression estimator than for alternative asymptotically efficient procedures that are based on the triangular representation. In a simple triangular system, the Wald statistic for testing linear hypotheses about the columns of the cointegrating matrix is shown to have an $F$ distribution, analogous to Hotelling's $T^2$ distribution in multivariate linear regression.
March 5, 2024
The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.
Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.
Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.
Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.
Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.
Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:
Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.
QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.
TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.
