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Estimating Restricted Cointegrating Vectors

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Author Info
Elliott, Graham

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Abstract

This article suggests the use of simple minimum-distance methods to estimate restricted cointegrating vectors. The method directly employs minimum-distance methods on unrestricted cointegrating matrices estimated in the usual way to estimate restricted parameters that are linearly or nonlinearly related to the unrestricted cointegrating vector coefficients. The limiting distribution of the estimates and the usual test for the restrictions are derived. A Monte Carlo experiment is undertaken to examine the effectiveness of these methods for cointegrating vectors.

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Publisher Info
Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 18 (2000)
Issue (Month): 1 (January)
Pages: 91-99
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Handle: RePEc:bes:jnlbes:v:18:y:2000:i:1:p:91-99

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March. [Downloadable!] (restricted)
  2. Stock, James H & Watson, Mark W, 1993. "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems," Econometrica, Econometric Society, vol. 61(4), pages 783-820, July. [Downloadable!] (restricted)
    Other versions:
  3. Saikkonen, Pentti, 1991. "Asymptotically Efficient Estimation of Cointegration Regressions," Econometric Theory, Cambridge University Press, vol. 7(01), pages 1-21, March. [Downloadable!]
  4. Warne, A., 1993. "Inference in Cointegrated VAR Systems," Papers 556, Stockholm - International Economic Studies.
  5. repec:cup:etheor:v:8:y:1992:i:1:p:1-27 is not listed on IDEAS
  6. King, Robert G. & Plosser, Charles I. & Stock, James H. & Watson, Mark W., 1991. "Stochastic Trends and Economic Fluctuations," American Economic Review, American Economic Association, vol. 81(4), pages 819-40, September. [Downloadable!] (restricted)
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  7. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, vol. 59(2), pages 283-306, March. [Downloadable!] (restricted)
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  8. Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-44, January. [Downloadable!] (restricted)
  9. repec:cup:etheor:v:7:y:1991:i:1:p:1-21 is not listed on IDEAS
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Helmut LÜTKEPOHL, 2004. "Recent Advances in Cointegration Analysis," Economics Working Papers ECO2004/12, European University Institute. [Downloadable!]
  2. Peter Reinhard Hansen, 2000. "Structural Changes in the Cointegrated Vector Autoregressive Model," Working Papers 2000-20, Brown University, Department of Economics. [Downloadable!]
    Other versions:
  3. H. Peter Boswijk & Jurgen Doornik, 2003. "Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview," Economics Papers 2003-W10, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    Other versions:
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