Starting values in estimation of cointegrating vectors with restrictions

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.

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Year of publication:	1999-02-04
Authors:	Lyhagen, Johan ; Forsberg, Lars
Institutions:	Economics Institute for Research (SIR), Handelshögskolan i Stockholm
Subject:	Cointegration \| Hypothesis testing \| Starting values

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Series:	SSE/EFI Working Paper Series in Economics and Finance.
Type of publication:	Book / Working Paper
Notes:	Published in Applied Economics Letters, 2001, pages 521-524. The text is part of a series SSE/EFI Working Paper Series in Economics and Finance Number 297 7 pages
Classification:	C12 - Hypothesis Testing ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005649252