Arbeitspapier
Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models
We propose in this paper a likelihood-based framework forcointegration analysis in panels of a fixed number of vector errorcorrection models. Maximum likelihood estimators of thecointegrating vectors are constructed using iterated GeneralizedMethod of Moments estimators. Using these estimators we constructlikelihood ratio statistics to test for a common cointegrationrank across the individual vector error correction models, bothwith heterogeneous and homogeneous cointegrating vectors. Thecorresponding limiting distributions are a summation of thelimiting behavior of Johansen (1991) trace statistics. We alsoincorporate both unrestricted and restricted deterministiccomponents which are either homogeneous or heterogeneous. Theproposed framework is applied on a data set of exchange rates andappropriate monetary fundamentals. The test results show strongevidence for the validity of the monetary exchange rate modelwithin a panel of vector error correction models for three majorEuropean countries, whereas the results based on individual vectorerror correction models for each of these countries separately areless supportive.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 99-055/4
- Klassifikation
-
Wirtschaft
- Thema
-
Kointegration
Schätzung
Wechselkurs
EU-Staaten
Fehlerkorrekturmodell
Momentenmethode
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Groen, Jan J.J.
Kleibergen, Frank R.
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
1999
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Groen, Jan J.J.
- Kleibergen, Frank R.
- Tinbergen Institute
Entstanden
- 1999
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