1992 | OriginalPaper | Chapter
Estimation of The Time Series Model
Authors : Dr. Javier Gardeazabal, Dr. Marta Regúlez
Published in: The Monetary Model of Exchange Rates and Cointegration
Publisher: Springer Berlin Heidelberg
Included in: Professional Book Archive
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In this chapter we describe several methods of estimation under different restrictions on the parameters of the model. Johansen’s estimation procedure is just one of the methods analyzed, corresponding to the case when only the long run parameters α and β are restricted. In addition, we also study other types of restrictions, namely, zero restrictions on the short run parameters of the ECM.