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Starting values in estimation of cointegrating vectors with restrictions

By Johan Lyhagen and Lars Forsberg


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.

DOI identifier: 10.1080/13504850010022658
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