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- Title
Identifying, estimating and testing restricted cointegrated systems: An overview.
- Authors
Boswijk, H. Peter; Doornik, Jurgen A.
- Abstract
The notion of cointegration has led to a renewed interest in the identification and estimation of structural relations among economic time series. This paper reviews the different approaches that have been put forward in the literature for identifying cointegrating relationships and imposing (possibly over-identifying) restrictions on them. Next, various algorithms to obtain (approximate) maximum likelihood estimates and likelihood ratio statistics are reviewed, with an emphasis on so-called switching algorithms. The implementation of these algorithms is discussed and illustrated using an empirical example.
- Subjects
TIME series analysis; ECONOMETRICS; COINTEGRATION; ECONOMIC forecasting; ESTIMATION theory; MATHEMATICAL statistics; PROBABILITY theory
- Publication
Statistica Neerlandica, 2004, Vol 58, Issue 4, p440
- ISSN
0039-0402
- Publication type
Article
- DOI
10.1111/j.1467-9574.2004.00270.x