Some results on cointegration with random coefficients in the error correction form: Estimation and testing

This study considers a time‐series model with random coefficients in cointegration. The estimation problem can be solved by maximizing the log‐likelihood. Asymptotic distributions of the least squares and maximum likelihood estimates are considered. The randomness of the cointegration vector is checked by a score‐based test approach. The test statistic converges asymptotically to a functional of Brownian processes. An empirical application to two cointegrated series, federal fund rate and 90‐day treasury bill rate is considered. Copyright © 2004 Blackwell Publishing Ltd., 9600 Garsington Road, Oxford OX4 2DQ, UK and 350 MainStreet, Malden, MA 02148, USA.