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Original Articles

Starting values in estimation of cointegrating vectors with restrictions

Pages 521-524 | Published online: 06 Oct 2010

References

  • Hansen , H. and Juselius , K. 1994 . CATS in RATS, manual to cointegration analysis of time series , Evanston, IL : Estima .
  • Johansen , S. 1988 . Statistical analysis of cointegration vectors . Journal of Economic Dynamics and Control , 12 : 231 – 254 .
  • Johansen , S. 1991 . Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models . Econometrica , 59 : 1551 – 1580 .
  • Johansen , S. 1995a . Identifying restrictions of linear equations with applications to simultaneous equations and cointegration . Journal of Econometrics , 69 : 111 – 132 .
  • Johansen , S. 1995 . Likelihood-based inference in cointegrated vector autoregressive models , Oxford : Oxford University Press .
  • Juselius , K. 1998 . A structured VAR for Denmark under changing monetary regimes . Journal of Business & Economic Statistics , 16 : 400 – 411 .

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