Starting values in estimation of cointegrating vectors with restrictions

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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Year of publication:	2001
Authors:	Lyhagen, Johan ; Forsberg, Lars
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 8.2001, 8, p. 521-524
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009202712