COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
AT YALE UNIVERSITY

Box 208281
New Haven, CT 06520-8281

COWLES FOUNDATION DISCUSSION PAPER NO. 1040

"Hyper-Consistent Estimation of a Unit Root in Time Series Regression"

Peter C. B. Phillips

December 1992

It is shown that the fully modified ordinary least squares (FM-OLS) estimator of a unit root in time series regression is T^3/2-consistent. Relative to FM-OLS, therefore, the least squares and maximum likelihood estimators are infinitely deficient asymptotically. Simulations show that this dominance of FM-OLS persists even in small samples.