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Iterative Maximum Likelihood Estimation of Cointegrating Vectors

Author

Listed:
  • Kim, In-Moo

    (Sungkyunkwan University)

  • Park, Joon Y.

    (Rice University and Sungkyunkwan University)

Abstract

This paper introduces an iterative method to estimate the cointegrating vectors in the error correction models. The method provides the asymptotically efficient estimators for the cointegrating vectors if iterated once or more. If it is iterated until convergence, we may obtain the maximum likelihood estimator by Johansen. For all values of 1

Suggested Citation

  • Kim, In-Moo & Park, Joon Y., 2005. "Iterative Maximum Likelihood Estimation of Cointegrating Vectors," Working Papers 2005-02, Rice University, Department of Economics.
    • Handle: RePEc:ecl:riceco:2005-02
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    File URL: http://www.ruf.rice.edu/~econ/papers/2005papers/park02.pdf
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    References listed on IDEAS

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    Cited by:

    1. Park, Suk K. & Ahn, Sung K. & Cho, Sinsup, 2011. "Generalized method of moments estimation for cointegrated vector autoregressive models," Computational Statistics & Data Analysis, Elsevier, vol. 55(9), pages 2605-2618, September.

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