Estimating Restricted Cointegrating Vectors
نویسندگان
چکیده
منابع مشابه
The Wald-type Test of a Normalization of Cointegrating Vectors
Vector autoregressive (VAR) models have often been used in the econometric literature as useful models to describe stationary/non-stationary time series. Additionally cointegrating vectors are of primary interest for researchers who investigate the long-run stable relationship between economic variables. In VAR models it is well known that cointegrating vectors are identifiable only up to their...
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Time series variables that stochastically trend together form a cointegrated system. In such systems, certain linear combinations of contemporaneous values of these variables have a lower order of integration than does each variable considered individually. These linear combinations are given by cointegrating vectors. OLS and NLS estimators of the parameters of a cointegrating vector are shown ...
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Efficient estimators of cointegrating vectors are presented for systems involving deterministic components and variables of differing, higher orders of integration. The estimators are computed using GLS or OLS, and Wald Statistics constructed from these estimators have asymptotic x2 distributions. These and previously proposed estimators of cointegrating vectors are used to study long-run U.S. ...
متن کاملTesting linear restrictions on cointegrating vectors: Sizes and powers of Wald tests in nite samples
The Wald test for linear restrictions on cointegrating vectors is compared in nite samples using the Monte Carlo method. The Wald test within the vector error-correction based methods of Bewley et al. fully modiied ordinary least squares method of Phillips and Hansen (1990), and the band spectral techniques of Phillips (1991) are considered. In terms of test size, Jo-hansen's method seems to be...
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This note investigates impacts of multivariate generalised autoregressive conditional heteroskedasticity (GARCH) errors on hypothesis testing for cointegrating vectors. The study reviews a cointegrated vector autoregressive model incorporating multivariate GARCH innovations and a regularity condition required for valid asymptotic inferences. Monte Carlo experiments are then conducted on a test ...
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2000
ISSN: 0735-0015,1537-2707
DOI: 10.1080/07350015.2000.10524850