Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative
Year of publication: |
2004
|
---|---|
Authors: | BRUEGGEMANN, Ralf ; LUETKEPOHL, Helmut |
Institutions: | Department of Economics, European University Institute |
Subject: | Vector autoregressive process | Vector error correction model | Cointegration | Reduced rank estimation | Maximum likelihood estimation |
-
Herwartz, Helmut, (2009)
-
Doornik, Jurgen A., (2017)
-
An I(2) Cointegration Model with Piecewise Linear Trends : Likelihood Analysis and Application
Takamitsu, Kurita, (2009)
- More ...
-
A Small Monetary System for the Euro Area Based on German Data
Brueggemann, Ralf, (2004)
-
Comparison of Model Reduction Methods for VAR Processes
BRUEGGEMANN, Ralf, (2002)
-
Forecasting Euro-Area Variables with German Pre-EMU Data
Brueggemann, Ralf, (2006)
- More ...