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- Title
Likelihood Ratio Tests of Restrictions on Common Trends Loading Matrices in I(2) VAR Systems.
- Authors
Boswijk, H. Peter; Paruolo, Paolo
- 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.
- Subjects
VALUE-added resellers; LIKELIHOOD ratio tests; MATRICES (Mathematics); COINTEGRATION; MAXIMUM likelihood statistics
- Publication
Econometrics (2225-1146), 2017, Vol 5, Issue 3, p28
- ISSN
2225-1146
- Publication type
Article
- DOI
10.3390/econometrics5030028