GMM Estimation for Seasonal Cointegration

Abstract

This paper considers a generalized method of moments(GMM) estimation for seasonal cointegration as the extension of Kleibergen (1999). We propose two iterative methods for the estimation according to whether parameters in the model are simultaneously estimated or not. It is shown that the GMM estimator coincides in form to a maximum likelihood estimator or a feasible two-step estimator. In addition, we derive its asymptotic distribution that takes the same form as that in Ahn and Reinsel (1994).