Estimation of Cointegration Vectors with Linear Restrictions

1993 ◽  
Vol 9 (1) ◽  
pp. 19-35 ◽  
Author(s):  
Pentti Saikkonen
Keyword(s):  
Generalized Least Squares ◽  
Simultaneous Equation ◽  
Equation Model ◽  
Asymptotic Distributions ◽  
Reduced Form ◽  
Simultaneous Equation Model ◽  
Test Procedures ◽  
Rank Condition ◽  
Efficient System ◽  
Linear Restrictions

A general approach for the estimation of cointegration vectors with linear restrictions is described. In the special case of zero restrictions, the cointegration relations of the paper are formally similar to the structural form of a traditional simultaneous equation model. The proposed estimation procedures require a conventional rank condition of identification but no exogeneity assumption. In place of exogenous variables there are series that are not cointegrated and can therefore describe the common trends in the system. The estimators of the paper are flexible and simple to use. They can be combined with several recent estimators developed for cointegration regressions which in the present context are formally similar to the reduced form of a simultaneous equation model. After the coefficient matrix of a cointegration regression has been estimated, the estimators of the paper can be obtained by simple generalized least squares. Both single equation estimators and more efficient system estimators are developed. The asymptotic distributions of the estimators are shown to be mixed normal so that Wald tests with asymptotic chi-square distributions under the null hypothesis can be obtained in the usual way. Convenient test procedures for checking the validity of overidentification restrictions are also provided.

Short-Run Determinants of the IDR/USD Exchange Rate: A Simultaneous-Equation Model

2015 ◽  
Vol 15 (3) ◽  
pp. 311-318
Author(s):  
Yu Hsing
Keyword(s):  
Exchange Rate ◽  
Stock Price ◽  
Simultaneous Equation ◽  
Equation Model ◽  
Reduced Form ◽  
Simultaneous Equation Model ◽  
The Real ◽  
Real Gdp ◽  
Short Run ◽  
The U.S

This paper examines short-run determinants of the Indonesian rupiah/USD exchange rate based on a simultaneous-equation model. Based on a reduced form equation and the EGARCH method, the paper finds that the IDR/USD exchange rate is positively associated with the real 10-year U.S. government bond yield, real GDP in Indonesia, the stock price in the U.S. and the expected exchange rate and negatively influenced by the real deposit rate in Indonesia, real GDP in the U.S., and the stock price in Indonesia. The Asian financial crisis has shifted the mean exchange rate by 4,900.857.

scholarly journals ESTIMASI PARAMETER PADA SISTEM MODEL PERSAMAAN SIMULTAN DATA PANEL DINAMIS DENGAN METODE 2 SLS GMM-AB

2018 ◽  
Vol 11 (2) ◽  
pp. 79-91
Author(s):  
Arya Fendha Ibnu Shina
Keyword(s):  
Panel Data ◽  
Structural Equation ◽  
Simultaneous Equation ◽  
Equation Model ◽  
Dynamic Panel Data ◽  
Least Square ◽  
System Model ◽  
Reduced Form ◽  
Simultaneous Equation Model ◽  
Dynamic Panel

Single equation models ignore interdependencies or two-way relationships between response variables. The simultaneous equation model accommodates this two-way relationship form. Two Stage Least Square Generalized Methods of Moment Arellano and Bond (2 SLS GMM-AB) is used to estimate the parameters in the simultaneous system model of dynamic panel data if each structural equation is exactly identified or over identified. In the simultaneous equation system model with dynamic panel data, each structural equation and reduced form is a dynamic panel data regression equation. Estimation of structural equations and reduced form using Ordinary Least Square (OLS) resulted biased and inconsistent estimators. Arellano and Bond GMM method (GMM AB) estimator produces unbiased, consistent, and efficient estimators.The purpose of this paper is to explain the steps of 2 SLS GMM-AB method to estimate parameter in simultaneous equation model with dynamic panel data.  Keywords:2 SLS GMM-AB, Arellano and Bond estimator, Dynamic Panel Data, Simultaneous Equations

Remittances, Economic Growth and Poverty: A Case of African OIC Member Countries

2018 ◽  
Vol 57 (2) ◽  
pp. 121-143
Author(s):  
Nasim Shah Shirazi ◽  
Sajid Amin Javed ◽  
Dawood Ashraf
Keyword(s):  
Economic Growth ◽  
Financial Development ◽  
Poverty Reduction ◽  
Simultaneous Equation ◽  
Equation Model ◽  
Annual Data ◽  
Simultaneous Equation Model ◽  
African Countries ◽  
Alternative Source ◽  
The Impact

This paper investigates the impact of remittance inflows on economic growth and poverty reduction for seven African countries using annual data from 1992-2010. By using the depth of hunger as a proxy for poverty in a Simultaneous Equation Model (SEM), we find that remittances have statistically significant growth enhancing and poverty reducing impact. Drawing on our estimates, we conclude that financial development level significantly increases the remittances inflows and strengthens poverty alleviating impact of remittances. Results of our study further show a signficant interactive imapct of remittances and finacial develpment on economic growth, suggesting the substitutability between remittance inflows and financial development. We further find that 3 percentage point increase in credit provision to the private sector (financial development) can help eliminate the severe depth of hunger in the region. Remittances, serving an alternative source of private credit, can be effective in this regard. Keywords: Remittance Inflow, Poverty Alleviation, Financial Development, Simultaneous Equation Model

Sign in / Sign up

Export Citation Format

Share Document