Scandinavian Working Papers in Economics
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The Economic Research Institute, Stockholm School of Economics SSE/EFI Working Paper Series in Economics and Finance

No 297:
Starting values in estimation of cointegrating vectors with restrictions

Johan Lyhagen () and Lars Forsberg ()

Abstract: In cointegration analysis, when considering a hypothesis of the kind beta =(H_1*phi_1,...,H_n*phi_n) the estimator is a simple switching method that requires starting values. We propose using additional restrictions, then solutions of an eigenvector problem may be used as starting values. Using a real world data set the proposed starting values seem to be better than the old, and sometimes they are much better.

Keywords: Cointegration; Hypothesis testing; Starting values; (follow links to similar papers)

JEL-Codes: C12; C32; (follow links to similar papers)

7 pages, February 4, 1999

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This paper is published as:
Lyhagen, Johan and Lars Forsberg, (2001), 'Starting values in estimation of cointegrating vectors with restrictions', Applied Economics Letters, Vol. 8, pages 521-524

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