A comparison of autoregressive distributed lag and dynamic OLS cointegration estimators in the case of a serially correlated cointegration error
This paper deals with a family of parametric, single-equation cointegration estimators that arise in the context of the autoregressive distributed lag (ADL) models. We particularly focus on a subclass of the ADL models, those that do not involve lagged values of the dependent variable, referred to as augmented static (AS) models. The general ADL and the restricted AS models give rise to the ADL and dynamic OLS (DOLS) estimators, respectively. The relative performance of…