The selection of zero-non-zero patterned cointegrating vectors in error-correction modelling
开发了一种高效搜索算法，用于从一阶单整系统中选择具有零非零模式的协整向量和载荷向量，并通过芬兰货币产出模型和美国平衡增长模型验证了其有效性。
An effective and efficient search algorithm has been developed to select from an 1(1) system zero-non-zero patterned cointegrating and loading vectors in a subset VECM, Bq(l)y(t-1) + Bq-1 (L)Ay(t) = ε( t ) , where the long term impact matrix Bq(l) contains zero entries. The algorithm can be applied to higher order integrated systems. 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.