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Starting values in estimation of cointegrating vectors with restrictions
Journal article   Peer reviewed

Starting values in estimation of cointegrating vectors with restrictions

Johan Lyhagen and Lars Forsberg
Applied economics letters, Vol.8(8), pp.521-524
2001-08-01

Abstract

Matematik Naturvetenskap Probability Theory and Statistics SAMHÄLLSVETENSKAP Sannolikhetsteori och statistik Statistics, computer and systems science Statistik Statistik, data- och systemvetenskap Mathematics Natural Sciences Social Sciences Statistics
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.

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