Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview

H. Peter Boswijk () and Jurgen Doornik

No 2003-W10, Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: The notion of cointegration has lead to a renewed interest in the identification and estimation of structural relations among economic time series, a field to which Henri Theil has made many pioneering contributions. This paper reviews the different approaches that have been put forward in the literature for identifying cointegrating relationships and imposing (possibly over-identifying) restrictions on them. Next, various algorithms to obtain (approximate) maximum likelihood estimates and likelihood ratio statistics are reviewed, with an emphasis on so-called switching algorithms. The implementation of these algorithms is discussed and illustrated using an empirical example.

Pages: 24 pages
Date: 2003-01-01
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://www.nuff.ox.ac.uk/economics/papers/2003/w10/BoswijkDoornik.pdf (application/pdf)

Related works:
Journal Article: Identifying, estimating and testing restricted cointegrated systems: An overview (2004)
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:nuf:econwp:0310

Access Statistics for this paper

More papers in Economics Papers from Economics Group, Nuffield College, University of Oxford Contact information at EDIRC.
Bibliographic data for series maintained by Maxine Collett ().