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Iterative Maximum Likelihood Estimation of Cointegrating Vectors

In-Moo Kim and Joon Park ()

Working Papers from Rice University, Department of Economics

Abstract: This paper introduces an iterative method to estimate the cointegrating vectors in the error correction models. The method provides the asymptotically efficient estimators for the cointegrating vectors if iterated once or more. If it is iterated until convergence, we may obtain the maximum likelihood estimator by Johansen. For all values of 1

Date: 2005-01
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Handle: RePEc:ecl:riceco:2005-02