The selection of zero-non-zero patterned cointegrating vectors in error-correction modelling

H. Penm Jammie, H. W. Penm Jack and R. D. Terrell

Econometric Reviews, 1997, vol. 16, issue 3, 281-314

Abstract: An effective and efficient search algorithm has been developed to select from an 1(1) system zero-non-zero patterned cointegrating and loading vectors in a subset VECM, Bq(l)y(t-1) + Bq-1 (L)Ay(t) = ε( t ) , where the long term impact matrix Bq(l) contains zero entries. The algorithm can be applied to higher order integrated systems. The Finnish money-output model presented by Johansen and Juselius (1990) and the United States balanced growth model presented by King, Plosser, Stock and Watson (1991) are used to demonstrate the usefulness of this algorithm in examining the cointegrating relationships in vector time series.

Keywords: cointegration; vector error correction modelling (search for similar items in EconPapers)
Date: 1997
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/07474939708800388 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:16:y:1997:i:3:p:281-314

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

DOI: 10.1080/07474939708800388

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().