The Selection of Zero-Non-Zero Patterned Cointegrating Vectors in Error Correction Modelling - Financial and Economic Forecasting (Chapter 10)

21 Pages Posted: 9 Jan 2003

See all articles by Jack H.W. Penm

Jack H.W. Penm

Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce

Jammie H. Penm

Independent

R. Deane Terrell

Australian National University (ANU) - National Graduate School of Management

Date Written: October 2002

Abstract

An effective and efficient search algorithm has been developed to select from an I(1) system zero-non-zero patterned cointegrating and loading vectors in a subset VECM, where the long term impact matrix contains zero entries. The Finnish money-output model presented by Johansen and Juselius (1990) and the United States balanced growth model presented by King, Plosser, Stock and Watson (1991) are used to demonstrate the usefulness of this algorithm in examining the cointegrating relationships in vector time series.

Keywords: cointegration, vector error correction modelling, zero entry, tree pruning

JEL Classification: C10, C32

Suggested Citation

Penm, Jack and Penm, Jammie H. and Terrell, R. Deane, The Selection of Zero-Non-Zero Patterned Cointegrating Vectors in Error Correction Modelling - Financial and Economic Forecasting (Chapter 10) (October 2002). Available at SSRN: https://ssrn.com/abstract=359920 or http://dx.doi.org/10.2139/ssrn.359920

Jack Penm (Contact Author)

Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce ( email )

Canberra, Australian Capital Territory 0200
Australia
+61 (02) 61250535 (Phone)
+61 (02) 61250087 (Fax)

Jammie H. Penm

Independent ( email )

61 (02) 62880126 (Phone)
61 (02) 61250087 (Fax)

R. Deane Terrell

Australian National University (ANU) - National Graduate School of Management ( email )

Sir Roland Wilson Building (120)
Canberra, Australian Capital Territory 0200
Australia

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
77
Abstract Views
808
rank
343,325
PlumX Metrics