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Identifying, estimating and testing restricted cointegrated systems: An overview

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  • H. Peter Boswijk
  • Jurgen A. Doornik

Abstract

The notion of cointegration has lead to a renewed interest in the identification and estimation of structural relations among economic time series, a field to which Henri Theil has made many pioneering contributions. This paper reviews the different approaches that have been put forward in the literature for identifying cointegrating relationships and imposing (possibly over-identifying) restrictions on them. Next, various algorithms to obtain (approximate) maximum likelihood estimates and likelihood ratio statistics are reviewed, with an emphasis on so-called switching algorithms. The implementation of these algorithms is discussed and illustrated using an empirical example.

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Bibliographic Info

Article provided by Netherlands Society for Statistics and Operations Research in its journal Statistica Neerlandica.

Volume (Year): 58 (2004)
Issue (Month): 4 ()
Pages: 440-465

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Handle: RePEc:bla:stanee:v:58:y:2004:i:4:p:440-465

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Citations

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Cited by:
  1. H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, . "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Tinbergen Institute Discussion Papers 13-187/III, Tinbergen Institute.
  2. Bent Nielsen & Tom Engsted, 2010. "Testing for rational bubbles in a co-explosive vector autoregression," Economics Series Working Papers 2010-W06, University of Oxford, Department of Economics.
  3. Jennifer Castle & David Hendry & Nicholas W.P. Fawcett, 2008. "Forecasting with Equilibrium-correction Models during Structural Breaks," Economics Series Working Papers 408, University of Oxford, Department of Economics.
  4. Paolo Paruolo, 2006. "The Likelihood Ratio Test for the Rank of a Cointegration Submatrix," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 921-948, December.
  5. Abdul Qayyum, 2005. "Modelling the Demand for Money in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 44(3), pages 233-252.
  6. Bertocco Giancarlo, 2006. "Are banks special? A note on Tobin’s theory of financial intermediaries," Economics and Quantitative Methods qf0605, Department of Economics, University of Insubria.
  7. Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute.
  8. Zavkidjon Zavkiev, 2005. "Estimating A Model Of Inflation In Tajikistan," CAMA Working Papers 2005-27, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  9. Mosconi, Rocco & Paruolo, Paolo, 2014. "Rank and order conditions for identification in simultaneous system of cointegrating equations with integrated variables of order two," MPRA Paper 53589, University Library of Munich, Germany.
  10. David Hendry & Carlos Santos, 2010. "An Automatic Test of Super Exogeneity," Economics Series Working Papers 476, University of Oxford, Department of Economics.

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