Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions

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 pre...

Full description

Bibliographic Details
Main Author: Jurgen A. Doornik
Format: Article
Language:English
Published: MDPI AG 2017-05-01
Series:Econometrics
Subjects:
cointegration
I(2)
vector autoregression
representation
maximum likelihood estimation
reduced rank regression
generalized least squares
Online Access:http://www.mdpi.com/2225-1146/5/2/19

Internet

http://www.mdpi.com/2225-1146/5/2/19

Similar Items