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Some identification problems in the cointegrated vector autoregressive model

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Author Info
Søren Johansen () (School of Economics and Management, University of Aarhus, Denmark and CREATES)

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Abstract

An analysis of some identification problems in the cointegrated VAR is given. We give a new criteria for identification by linear restrictions on indi- vidual relations which is equivalent to the rank condition. We compare the asymptotic distribution of the estimators of alpha and beta when they are identified by linear restrictions on alpha and when they are identified by linear restrictions on alpha in which case a component of beta 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 transi- tory 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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Publisher Info
Paper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2007-32.

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Length: 26
Date of creation: 07 Nov 2007
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Handle: RePEc:aah:create:2007-32

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Web page: http://www.econ.au.dk/afn/

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Related research
Keywords: Identfication; cointegration; common trends;

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Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions

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References listed on IDEAS
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  1. Johansen, Soren, 1995. "Identifying restrictions of linear equations with applications to simultaneous equations and cointegration," Journal of Econometrics, Elsevier, vol. 69(1), pages 111-132, September. [Downloadable!] (restricted)
  2. repec:cup:etheor:v:13:y:1997:i:1:p:79-118 is not listed on IDEAS
  3. Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, vol. 79(4), pages 655-73, September. [Downloadable!] (restricted)
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  4. Paruolo, Paolo, 2002. "Asymptotic Inference On The Moving Average Impact Matrix In Cointegrated I (2) Var Systems," Econometric Theory, Cambridge University Press, vol. 18(03), pages 673-690, June. [Downloadable!]
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