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...

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...