Skip to main content
Article thumbnail
Location of Repository

Starting values in estimation of cointegrating vectors with restrictions

By Johan Lyhagen and Lars Forsberg

Abstract

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
OAI identifier:
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://www.informaworld.com/op... (external link)
  • Suggested articles


    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.