文章基本信息

标题：Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions
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作者：Doornik, Jurgen A.
期刊名称：Econometrics
印刷版ISSN：2225-1146
出版年度：2017
卷号：5
期号：2
页码：1-20
出版社：MDPI, Open Access Journal
摘要：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.
关键词：cointegration; I(2); vector autoregression; representation; maximum likelihood estimation; reduced rank regression; generalized least squares