Artikel
Maximum likelihood estimation of the I(2) model under linear restrictions
Estimation of the I(2) cointegrated vector autoregressive (CVAR) model is considered. Without further restrictions, estimation of the I(1) model is by reduced-rank regression (Anderson (1951)). Maximum likelihood estimation of I(2) models, on the other hand, always requires iteration. This paper presents a new triangular representation of the I(2) model. This is the basis for a new estimation procedure of the unrestricted I(2) model, as well as the I(2) model with linear restrictions imposed.
- Language
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Englisch
- Bibliographic citation
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Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 5 ; Year: 2017 ; Issue: 2 ; Pages: 1-20 ; Basel: MDPI
- Classification
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Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Construction and Estimation
Optimization Techniques; Programming Models; Dynamic Analysis
- Subject
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cointegration
I(2)
vector autoregression
representation
maximum likelihood estimation
reduced rank regression
generalized least squares
- Event
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Geistige Schöpfung
- (who)
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Doornik, Jurgen A.
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2017
- DOI
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doi:10.3390/econometrics5020019
- Handle
- Last update
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10.03.2025, 11:41 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Doornik, Jurgen A.
- MDPI
Time of origin
- 2017
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