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Estimating Restricted Cointegrating Vectors

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Graham Elliott

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Abstract

This paper 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 which are linearly or nonlinearly related to the unrestricted cointegrating vector coefficients. The limiting distribution of the estimates as well as 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
Paper provided by Department of Economics, UC San Diego in its series University of California at San Diego, Economics Working Paper Series with number 99-22.

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Date of creation: Oct 1999
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Handle: RePEc:cdl:ucsdec:99-22

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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. Warne, A., 1993. "Inference in Cointegrated VAR Systems," Papers 556, Stockholm - International Economic Studies.
  2. repec:cup:etheor:v:7:y:1991:i:1:p:1-21 is not listed on IDEAS
  3. 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)
  4. Saikkonen, Pentti, 1991. "Asymptotically Efficient Estimation of Cointegration Regressions," Econometric Theory, Cambridge University Press, vol. 7(01), pages 1-21, March. [Downloadable!]
  5. Robert G. King & Charles I. Plosser & James H. Stock & Mark W. Watson, 1991. "Stochastic trends and economic fluctuations," Working Paper Series, Macroeconomic Issues 91-4, Federal Reserve Bank of Chicago.
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  6. 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)
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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. repec:cup:etheor:v:8:y:1992:i:1:p:1-27 is not listed on IDEAS
  9. 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)
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  1. 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!]
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  2. Helmut LÜTKEPOHL, 2004. "Recent Advances in Cointegration Analysis," Economics Working Papers ECO2004/12, European University Institute. [Downloadable!]
  3. Peter Reinhard Hansen, 2000. "Structural Changes in the Cointegrated Vector Autoregressive Model," Working Papers 2000-20, Brown University, Department of Economics. [Downloadable!]
    Other versions:
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