Starting values in estimation of cointegrating vectors with restrictions

Johan Lyhagen () and Lars Forsberg ()
Additional contact information
Lars Forsberg: Department of Information Science, Division of Statistics, Postal: Uppsala University, P.O. Box 513, SE-751 20 Uppsala, Sweden

No 297, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: In cointegration analysis, when considering a hypothesis of the kind beta =(H_1*phi_1,...,H_n*phi_n) the estimator is a simple switching method that requires starting values. We propose using additional restrictions, then solutions of an eigenvector problem may be used as starting values. Using a real world data set the proposed starting values seem to be better than the old, and sometimes they are much better.

Keywords: Cointegration; Hypothesis testing; Starting values (search for similar items in EconPapers)
JEL-codes: C12 C32 (search for similar items in EconPapers)
Pages: 7 pages
Date: 1999-02-04
New Economics Papers: this item is included in nep-ecm and nep-ets
References: Add references at CitEc
Citations:

Published in Applied Economics Letters, 2001, pages 521-524.

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:hhs:hastef:0297

Access Statistics for this paper

More papers in SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden. Contact information at EDIRC.
Bibliographic data for series maintained by Helena Lundin ().