Identifying, estimating and testing restricted cointegrated systems: An overview

DOI10.1111/j.1467-9574.2004.00270.xzbMath1061.62129OpenAlexW2015002707MaRDI QIDQ4665352

Jurgen A. Doornik, H. Peter Boswijk

Publication date: 11 April 2005

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: http://www.nuff.ox.ac.uk/economics/papers/2003/w10/BoswijkDoornik.pdf

zbMATH Keywords

likelihood ratio testmaximum likelihoodmoney demanderror correction modelsreduced rank regressionasymptotic mixed normal distribution

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items (6)

Accelerated Estimation of Switching Algorithms: The Cointegrated VAR Model and Other Applications ⋮ Investigating volatility transmission across international equity markets using multivariate fractional models ⋮ Testing for co-nonlinearity ⋮ Identification conditions in simultaneous systems of cointegrating equations with integrated variables of higher order ⋮ Inference on co-integration parameters in heteroskedastic vector autoregressions ⋮ Forecasting with equilibrium-correction models during structural breaks

Uses Software

• CATS
• PcGive
• Ox
• Microfit

Cites Work

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• Statistical analysis of cointegration vectors
• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
• Identification of the long-run and the short-run structure. An application to the ISLM model
• Time series analysis and simultaneous equation econometric models
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

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