{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,3,6]],"date-time":"2026-03-06T01:20:15Z","timestamp":1772760015980,"version":"3.50.1"},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"4","license":[{"start":{"date-parts":[[2000,8,1]],"date-time":"2000-08-01T00:00:00Z","timestamp":965088000000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2000,8]]},"abstract":"<jats:p>This paper derives the distribution of the two stage estimator \nof cointegrating parameters in <jats:italic>I<\/jats:italic>(2) systems, abbreviated \n2SI2, under several assumptions regarding the drift of the process. \nThe asymptotic distribution is compared with that of the maximum \nlikelihood (ML) estimator derived in Johansen (1997, <jats:italic>Scandinavian \nJournal of Statistics<\/jats:italic> 24, 433\u2013462). It is found that the \ntwo asymptotic distributions are the same, thus showing that the 2SI2 \nestimator is asymptotically as efficient as ML.<\/jats:p>","DOI":"10.1017\/s0266466600164035","type":"journal-article","created":{"date-parts":[[2002,7,27]],"date-time":"2002-07-27T13:45:46Z","timestamp":1027777546000},"page":"524-550","source":"Crossref","is-referenced-by-count":32,"title":["ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN <i>I<\/i> \n(2) SYSTEMS"],"prefix":"10.1017","volume":"16","author":[{"given":"Paolo","family":"Paruolo","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2000,8,1]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466600164035","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,8]],"date-time":"2019-04-08T19:39:47Z","timestamp":1554752387000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466600164035\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2000,8]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2000,8]]}},"alternative-id":["S0266466600164035"],"URL":"https:\/\/doi.org\/10.1017\/s0266466600164035","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2000,8]]}}}