Likelihood ratio tests of restrictions on common trends loading matrices in I(2) VAR Systems

H. Peter Boswijk and Paolo Paruolo

Likelihood ratio tests of over-identifying restrictions on the common trends loading matrices in I(2) VAR systems are discussed. It is shown how hypotheses on the common trends loading matrices can be translated into hypotheses on the cointegration parameters. Algorithms for (constrained) maximum likelihood estimation are presented, and asymptotic properties sketched. The techniques are illustrated using the analysis of the PPP and UIP between Switzerland and the US.

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Year of publication:	September 2017
Authors:	Boswijk, Herman Peter ; Paruolo, Paolo
Published in:	Econometrics : open access journal. - Basel : MDPI, ISSN 2225-1146, ZDB-ID 2717594-7. - Vol. 5.2017, 3, p. 1-17
Subject:	cointegration \| common trends \| identification \| VAR \| I(2) \| VAR-Modell \| VAR model \| Kointegration \| Cointegration \| Schätztheorie \| Estimation theory \| Zeitreihenanalyse \| Time series analysis

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3390/econometrics5030028 [DOI] hdl:10419/195474 [Handle]
Classification:	C32 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011710948