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|Title:||Likelihood ratio tests of restrictions on common-trends loading matrices in I(2) VAR systems|
|Authors:||BOSWIJK PETER H.; PARUOLO PAOLO|
|Publisher:||Multidisciplinary Digital Publishing Institute - MDPI|
|Type:||Articles in periodicals and books|
|Abstract:||Likelihood ratio tests of over-identifying restrictions on the common trends loading matrices in I(2) VAR systems are discussed. It is shown how hypotheses on the common trends loading matrices can be translated into hypotheses on the cointegration parameters. Algorithms for (constrained) maximum likelihood estimation are presented, and asymptotic properties sketched. The techniques are illustrated using the analysis of the PPP and UIP between Switzerland and the US.|
|JRC Directorate:||Joint Research Centre Corporate Activities|
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