In this paper cointegrating relations between six East and Southeast Asian markets relative to a base cluster of three global markets are investigated in the framework of zero-non-zero (ZNZ) patterned vector error-correction modelling (VECM). The analysis focuses upon market relations both...

Vector error-correction models (VECM) are increasingly being used to capture dynamic relationships between financial variables. Estimation and interpretation of such models can be enhanced if zero restrictions are allowed in the coefficient matrices. Conventional use of full-order models may...

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...