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Starting values in estimation of cointegrating vectors with restrictions

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Author Info

  • Lyhagen, Johan

    ()
    (Dept. of Economic Statistics, Stockholm School of Economics)

  • Forsberg, Lars

    ()
    (Department of Information Science, Division of Statistics)

Abstract

In cointegration analysis, when considering a hypothesis of the kind beta =(H_1*phi_1,...,H_n*phi_n) the estimator is a simple switching method that requires starting values. We propose using additional restrictions, then solutions of an eigenvector problem may be used as starting values. Using a real world data set the proposed starting values seem to be better than the old, and sometimes they are much better.

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Bibliographic Info

Paper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 297.

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Length: 7 pages
Date of creation: 04 Feb 1999
Date of revision:
Publication status: Published in Applied Economics Letters, 2001, pages 521-524.
Handle: RePEc:hhs:hastef:0297

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Keywords: Cointegration; Hypothesis testing; Starting values;

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