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The selection of zero-non-zero patterned cointegrating vectors in error-correction modelling

Author

Listed:
  • H. Penm Jammie
  • H. W. Penm Jack
  • R. D. Terrell

Abstract

An effective and efficient search algorithm has been developed to select from an 1(1) system zero-non-zero patterned cointegrating and loading vectors in a subset VECM, Bq(l)y(t-1) + Bq-1 (L)Ay(t) = ε( t ) , where the long term impact matrix Bq(l) contains zero entries. The algorithm can be applied to higher order integrated systems. The Finnish money-output model presented by Johansen and Juselius (1990) and the United States balanced growth model presented by King, Plosser, Stock and Watson (1991) are used to demonstrate the usefulness of this algorithm in examining the cointegrating relationships in vector time series.

Suggested Citation

  • H. Penm Jammie & H. W. Penm Jack & R. D. Terrell, 1997. "The selection of zero-non-zero patterned cointegrating vectors in error-correction modelling," Econometric Reviews, Taylor & Francis Journals, vol. 16(3), pages 281-314.
    • Handle: RePEc:taf:emetrv:v:16:y:1997:i:3:p:281-314
    DOI: 10.1080/07474939708800388
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    Cited by:

    1. Eva Liljeblom & Sabur Mollah & Patrik Rotter, 2015. "Do dividends signal future earnings in the Nordic stock markets?," Review of Quantitative Finance and Accounting, Springer, vol. 44(3), pages 493-511, April.
    2. Mollah, Sabur & Zafirov, Goran & Quoreshi, AMM Shahiduzzaman, 2014. "Financial Market Contagion during the Global Financial Crisis," Working Papers 2014/05, Blekinge Institute of Technology, Department of Industrial Economics.

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