Estimating Restricted Cointegrating Vectors

Graham Elliott ()

University of California at San Diego, Economics Working Paper Series from Department of Economics, UC San Diego

Abstract: This paper 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 which are linearly or nonlinearly related to the unrestricted cointegrating vector coefficients. The limiting distribution of the estimates as well as the usual test for the restrictions are derived. A Monte Carlo experiment is undertaken to examine the effectiveness of these methods for cointegrating vectors.

Keywords: cointegration; minimum distance estimation; nonlinear restrictions (search for similar items in EconPapers)
Date: 1999-10-01
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Related works:
Journal Article: Estimating Restricted Cointegrating Vectors (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:cdl:ucsdec:qt5sr55716

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