Discussion Papers no. 309
Estimating and restricting growth rates and cointegration means
With applications to consumption and money demand
The parameters in the cointegration vector and the loading parameters are not the only interesting parameters in a vector cointegration model. With a reformulation of the model the intercept parameters can be decomposed into growth parameters and cointegration mean parameters. These parameters have economic interpretations and are therefore also important. We show how these parameters can be estimated