{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,3]],"date-time":"2026-10-03T22:58:08Z","timestamp":1791068288714,"version":"4.1.0"},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"3","license":[{"start":{"date-parts":[[2002,5,15]],"date-time":"2002-05-15T00:00:00Z","timestamp":1021420800000},"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":[[2002,6]]},"abstract":"<jats:p>In this paper we propose an alternative characterization of \nthe central notion of cointegration, exploiting the relationship \nbetween the autocovariance and the cross-covariance functions \nof the series. This characterization leads us to propose a new \nestimator of the cointegrating parameter based on the instrumental \nvariables (IV) methodology. The instrument is a delayed regressor \nobtained from the conditional bivariate system of nonstationary \nfractionally integrated processes with a weakly stationary error \ncorrection term. We prove the consistency of this estimator \nand derive its limiting distribution. We also show that, in \nthe <jats:italic>I<\/jats:italic>(1) case, with a semiparametric correction simpler \nthan the one required for the fully modified ordinary least squares \n(FM-OLS), our fully modified instrumental variables (FM-IV) estimator \nis median-unbiased, a mixture of normals, and asymptotically efficient. \nAs a consequence, standard inference can be conducted with this new \nFM-IV estimator of the cointegrating parameter. We show by the use of \nMonte Carlo simulations that the small sample gains with the new IV \nestimator over OLS are remarkable.<\/jats:p>","DOI":"10.1017\/s0266466602183046","type":"journal-article","created":{"date-parts":[[2002,12,11]],"date-time":"2002-12-11T22:13:26Z","timestamp":1039644806000},"page":"646-672","source":"Crossref","is-referenced-by-count":9,"title":["INSTRUMENTAL VARIABLE INTERPRETATION OF COINTEGRATION WITH \nINFERENCE RESULTS FOR FRACTIONAL COINTEGRATION"],"prefix":"10.1017","volume":"18","author":[{"given":"Francesc","family":"Marmol","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Alvaro","family":"Escribano","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Felipe M.","family":"Aparicio","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2002,5,15]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466602183046","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,4]],"date-time":"2019-04-04T19:50:56Z","timestamp":1554407456000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466602183046\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2002,5,15]]},"references-count":0,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2002,6]]}},"alternative-id":["S0266466602183046"],"URL":"https:\/\/doi.org\/10.1017\/s0266466602183046","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2002,5,15]]}}}