Jammie, H. Penm; Jack, H. W. Penm; Terrell, R. D. - In: Econometric Reviews 16 (1997) 3, pp. 281-314
An effective and efficient search algorithm has been developed to select from an 1(1) system zero-non-zero patterned cointegrating and loading vectors in a subset VECM, Bq(l)y(t-1) + Bq-1 (L)Ay(t) = ε( t ) , where the long term impact matrix Bq(l) contains zero entries. The algorithm can be...
