Generalized Method of Moments (GMM) Estimators are derived for Reduced Rank Regression Models, the Error Correction Cointegration Model (ECCM) and the Incomplete Simultaneous Equations Model (INSEM).The GMM (2SLS) estimators of the cointegrating vector in the ECCM are shown to have normal...

We propose in this paper a likelihood-based framework for cointegration analysis in panels of a fixed number of vector error correction models. Maximum likelihood estimators of the cointegrating vectors are constructed using iterated Generalized Method of Moments estimators. Using these...

Generalized Method of Moments (GMM) Estimators are derived for Reduced Rank Regression Models, the Error Corrections Cointegration Model (ECCM) and the Incomplete Simultaneous Equations Model (INSEM). The GMM (2SLS) estimators of the cointegrating vector in the ECCM are shown to have normal...

Cointegration occurs when the long run multiplier of a vector autoregressive model exhibits rank reduction. Priors and posteriors of the parameters of the cointegration model are therefore proportional to priors and posteriors of the long run multiplier given that it has reduced rank. Rank...

We establish the relationships between certain Bayesian and classical approaches to instrumental variable regression. We determine the form of priors that lead to posteriors for structural parameters that have similar properties as classical 2SLS and LIML and in doing so provide some new insight...

Many common statistical models can be specified as linear models with restrictions imposed on the parameters. A large amount of these models impose restrictions which do not allow for the analytical construction of the probability density function (pdf) of the parameters given the restrictions....

In this paper we extend the univariate periodic integration model to multivariate cointegrated time series. We analyze representation issues of a multivariate periodic model. We argue that simple adding an index s to the parameters in an otherwise nonperiodic Vector AutoRegression (VAR) leads to...

Diffuse priors lead to pathological posterior behaviour when used in Bayesian analyses of Simultaneous Equation Models (SEMs). This results from the local nonidentification of certain parameters in SEMs. When this, a priori known, feature is not captured appropriately, and a posteriori favour...