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...
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| Формат: | Journal article |
| Опубликовано: |
MDPI
2017
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| _version_ | 1826304692918943744 |
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| author | Doornik, J |
| author_facet | Doornik, J |
| author_sort | Doornik, J |
| collection | OXFORD |
| description | 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. |
| first_indexed | 2024-03-07T06:21:40Z |
| format | Journal article |
| id | oxford-uuid:f2eb7521-2c67-4201-b1ab-edc69d73d359 |
| institution | University of Oxford |
| last_indexed | 2024-03-07T06:21:40Z |
| publishDate | 2017 |
| publisher | MDPI |
| record_format | dspace |
| spelling | oxford-uuid:f2eb7521-2c67-4201-b1ab-edc69d73d3592022-03-27T12:07:51ZMaximum likelihood estimation of the I(2) model under linear restrictionsJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:f2eb7521-2c67-4201-b1ab-edc69d73d359Symplectic Elements at OxfordMDPI2017Doornik, JEstimation 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. |
| spellingShingle | Doornik, J Maximum likelihood estimation of the I(2) model under linear restrictions |
| title | Maximum likelihood estimation of the I(2) model under linear restrictions |
| title_full | Maximum likelihood estimation of the I(2) model under linear restrictions |
| title_fullStr | Maximum likelihood estimation of the I(2) model under linear restrictions |
| title_full_unstemmed | Maximum likelihood estimation of the I(2) model under linear restrictions |
| title_short | Maximum likelihood estimation of the I(2) model under linear restrictions |
| title_sort | maximum likelihood estimation of the i 2 model under linear restrictions |
| work_keys_str_mv | AT doornikj maximumlikelihoodestimationofthei2modelunderlinearrestrictions |