Starting values in estimation of cointegrating vectors with restrictions
AbstractIn 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 InfoPaper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 297.
Length: 7 pages
Date of creation: 04 Feb 1999
Date of revision:
Publication status: Published in Applied Economics Letters, 2001, pages 521-524.
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More information through EDIRC
Cointegration; Hypothesis testing; Starting values;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-1999-02-08 (All new papers)
- NEP-ECM-1999-02-08 (Econometrics)
- NEP-ETS-1999-02-08 (Econometric Time Series)
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