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Starting values in estimation of cointegrating vectors with restrictions

Author

Listed:
  • 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.

Suggested Citation

  • Lyhagen, Johan & Forsberg, Lars, 1999. "Starting values in estimation of cointegrating vectors with restrictions," SSE/EFI Working Paper Series in Economics and Finance 297, Stockholm School of Economics.
  • Handle: RePEc:hhs:hastef:0297
    as

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    More about this item

    Keywords

    Cointegration; Hypothesis testing; Starting values;

    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; Diffusion Processes; State Space Models

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