Some identification problems in the cointegrated vector autoregressive model
AbstractThe paper analyses some identification problems in the cointegrated vector autoregressive model. A criteria for identification by linear restrictions on individual relations is given. The asymptotic distribution of the estimators of [alpha] and [beta] is derived when they are identified by linear restrictions on [beta], and when they are identified by linear restrictions on [alpha]. It it shown that, in the latter case, a component of is asymptotically Gaussian. Finally we discuss identification of shocks by introducing the contemporaneous and permanent effect of a shock and the distinction between permanent and transitory shocks, which allows one to identify permanent shocks from the long-run variance and transitory shocks from the short-run variance.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 158 (2010)
Issue (Month): 2 (October)
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Web page: http://www.elsevier.com/locate/jeconom
Identification Cointegration Common trends Asymptotic distribution;
Other versions of this item:
- Søren Johansen, 2007. "Some identification problems in the cointegrated vector autoregressive model," CREATES Research Papers 2007-32, School of Economics and Management, University of Aarhus.
- Søren Johansen, 2007. "Some Identification Problems in the Cointegrated Vector Autoregressive Model," Discussion Papers 07-24, University of Copenhagen. Department of Economics.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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