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Estimating Restricted Cointegrating Vectors

  • Author(s): Elliott, Graham
  • et al.
Abstract

This paper suggests the use of simple minimum distance methods to estimate restricted cointegrating vectors. The method directly employs minimum distance methods on unrestricted cointegrating matrices estimated in the usual way to estimate restricted parameters which are linearly or nonlinearly related to the unrestricted cointegrating vector coefficients. The limiting distribution of the estimates as well as the usual test for the restrictions are derived. A Monte Carlo experiment is undertaken to examine the effectiveness of these methods for cointegrating vectors.

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