 Estimation of Cointegration Vectors with Linear RestrictionsEconometric Theory, 1993, vol. 9, issue 1, 19-35 Abstract: A general approach for the estimation of cointegration vectors with linear restrictions is described. In the special case of zero restrictions, the cointegration relations of the paper are formally similar to the structural form of a traditional simultaneous equation model. The proposed estimation procedures require a conventional rank condition of identification but no exogeneity assumption. In place of exogenous variables there are series that are not cointegrated and can therefore describe the common trends in the system. The estimators of the paper are flexible and simple to use. They can be combined with several recent estimators developed for cointegration regressions which in the present context are formally similar to the reduced form of a simultaneous equation model. After the coefficient matrix of a cointegration regression has been estimated, the estimators of the paper can be obtained by simple generalized least squares. Both single equation estimators and more efficient system estimators are developed. The asymptotic distributions of the estimators are shown to be mixed normal so that Wald tests with asymptotic chi-square distributions under the null hypothesis can be obtained in the usual way. Convenient test procedures for checking the validity of overidentification restrictions are also provided. Date: 1993 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:9:y:1993:i:01:p:19-35_00 Access Statistics for this article More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK. |
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