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
Publication Year: 2017
JRC N°: JRC106007
URI: http://www.mdpi.com/2225-1146/5/3/28
http://publications.jrc.ec.europa.eu/repository/handle/JRC106007
DOI: 10.3390/econometrics5030028
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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