Fully modified least squares estimation and inference for systems of cointegrating polynomial regressions

We consider fully modified least squares estimation for systems of cointegrating polynomial regressions, i. e., regressions that include deterministic variables, integrated processes and their powers as regressors. The errors are allowed to be correlated across equations, over time with the Whilst, course, OLS GLS coincide – any regular weighting matrix without restrictions on parameters same regressors in all this equivalence breaks down, general, case parameter and/or different equations. Consequently, we discuss detail restricted estimators inference based upon them.