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.
BOSWIJK Peter H.;
PARUOLO Paolo;
2017-08-16
Multidisciplinary Digital Publishing Institute - MDPI
JRC106007
http://www.mdpi.com/2225-1146/5/3/28,
https://publications.jrc.ec.europa.eu/repository/handle/JRC106007,
10.3390/econometrics5030028,
| Name | Country | City | Type |
|---|
This document is only visible at the Commission level.
You are not authorized to publish or distribute it outside the European Commission.
This is a public document. You can share this publication.
Datasets
| ID | Title | Public URL |
|---|
Dataset collections
| ID | Acronym | Title | Public URL |
|---|
Scripts / source codes
| Description | Public URL |
|---|
Additional supporting files
| File name | Description | File type |
|---|