CrossRef Open Access 2005 40 sitasi

Practical Problems with Reduced‐rank ML Estimators for Cointegration Parameters and a Simple Alternative*

Ralf Brüggemann Helmut Lütkepohl

Abstrak

AbstractJohansen's reduced‐rank maximum likelihood (ML) estimator for cointegration parameters in vector error correction models is known to produce occasional extreme outliers. Using a small monetary system and German data we illustrate the practical importance of this problem. We also consider an alternative generalized least squares (GLS) system estimator which has better properties in this respect. The two estimators are compared in a small simulation study. It is found that the GLS estimator can indeed be an attractive alternative to ML estimation of cointegration parameters.

Penulis (2)

Ralf Brüggemann

Helmut Lütkepohl

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Brüggemann, R., Lütkepohl, H. (2005). Practical Problems with Reduced‐rank ML Estimators for Cointegration Parameters and a Simple Alternative*. https://doi.org/10.1111/j.1468-0084.2005.00136.x

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Informasi Jurnal

Tahun Terbit: 2005
Bahasa: en
Total Sitasi: 40×
Sumber Database: CrossRef
DOI: 10.1111/j.1468-0084.2005.00136.x
Akses: Open Access ✓