Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions
AbstractEstimation 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. View Full-Text
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Doornik, J.A. Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions. Econometrics 2017, 5, 19.
Doornik JA. Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions. Econometrics. 2017; 5(2):19.Chicago/Turabian Style
Doornik, Jurgen A. 2017. "Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions." Econometrics 5, no. 2: 19.
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