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In: The Econometrics Journal, Band 21, Heft 2, S. 87-113
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In: Statistica Neerlandica: journal of the Netherlands Society for Statistics and Operations Research, Band 58, Heft 4, S. 440-465
ISSN: 1467-9574
The notion of cointegration has led to a renewed interest in the identification and estimation of structural relations among economic time series. This paper reviews the different approaches that have been put forward in the literature for identifying cointegrating relationships and imposing (possibly over‐identifying) restrictions on them. Next, various algorithms to obtain (approximate) maximum likelihood estimates and likelihood ratio statistics are reviewed, with an emphasis on so‐called switching algorithms. The implementation of these algorithms is discussed and illustrated using an empirical example.
In: UvA-Econometrics Discussion Paper 2013/05
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Working paper
In: Tinbergen Institute Discussion Paper 2019-083/III
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In: Univ. of Copenhagen Dept. of Economics Discussion Paper No. 13-13
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Working paper
In: Journal of economic dynamics & control, Band 31, Heft 6, S. 1938-1970
ISSN: 0165-1889
In: tinbergen Institute Discussion Paper 2021-086/III
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