Estimating Restricted Cointegrating Vectors

Graham Elliott ()

Journal of Business & Economic Statistics, 2000, vol. 18, issue 1, 91-99

Abstract: This article suggests the use of simple minimum-distance methods to estimate restricted cointegrating vectors. The method directly employs minimum-distance methods on unrestricted cointegrating matrices estimated in the usual way to estimate restricted parameters that are linearly or nonlinearly related to the unrestricted cointegrating vector coefficients. The limiting distribution of the estimates and the usual test for the restrictions are derived. A Monte Carlo experiment is undertaken to examine the effectiveness of these methods for cointegrating vectors.

Date: 2000
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Working Paper: Estimating Restricted Cointegrating Vectors (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:18:y:2000:i:1:p:91-99

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