Starting values in estimation of cointegrating vectors with restrictions
In cointegration analysis, when considering a hypothesis of the kind β = (H <1 ϕ 1,..., H n ϕ n) the estimation technique is a simple switching method that requires starting values. Using additional restrictions, the solution 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.
Year of publication: |
2001
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Authors: | Lyhagen, Johan ; Forsberg, Lars |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 8.2001, 8, p. 521-524
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Publisher: |
Taylor & Francis Journals |
Saved in:
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