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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.

previous chapter Effect of Non-Normal Disturbances on Likelihood Ratio Tests
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Metadata
Title
Estimation of The Time Series Model
Authors
Dr. Javier Gardeazabal
Dr. Marta Regúlez
Copyright Year
1992
Publisher
Springer Berlin Heidelberg
Book
The Monetary Model of Exchange Rates and Cointegration

Print ISBN: 978-3-540-55635-0

Electronic ISBN: 978-3-642-48858-0

Copyright Year: 1992

DOI
https://doi.org/10.1007/978-3-642-48858-0_7