Likelihood ratio tests of restrictions on common trends loading matrices in I(2) VAR systems
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| Publication date | 09-2017 |
| Journal | Econometrics |
| Article number | 28 |
| Volume | Issue number | 5 | 3 |
| Number of pages | 17 |
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| 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. |
| Document type | Article |
| Note | In Special Issue Recent Developments in Cointegration |
| Language | English |
| Published at | https://doi.org/10.3390/econometrics5030028 |
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