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Some identification problems in the cointegrated vector autoregressive model

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  • Søren Johansen

    ()
    (School of Economics and Management, University of Aarhus, Denmark and CREATES)

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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Bibliographic 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
Date of revision:
Handle: RePEc:aah:create:2007-32

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

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Keywords: Identfication; cointegration; common trends;

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  1. Wickens, Michael R., 1996. "Interpreting cointegrating vectors and common stochastic trends," Journal of Econometrics, Elsevier, vol. 74(2), pages 255-271, October.
  2. Juselius, Katarina, 2006. "The Cointegrated VAR Model: Methodology and Applications," OUP Catalogue, Oxford University Press, number 9780199285679, Octomber.
  3. Pesaran, M Hashem, 1997. "The Role of Economic Theory in Modelling the Long Run," Economic Journal, Royal Economic Society, vol. 107(440), pages 178-91, January.
  4. Proietti, Tommaso, 1997. "Short-Run Dynamics in Cointegrated Systems," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(3), pages 405-22, August.
  5. Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbance," Working papers 497, Massachusetts Institute of Technology (MIT), Department of Economics.
  6. 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.
  7. Paolo Paruolo, 2006. "The Likelihood Ratio Test for the Rank of a Cointegration Submatrix," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 921-948, December.
  8. Paruolo, Paolo, 1997. "Standard Errors for the Long-Run Variance Matrix," Econometric Theory, Cambridge University Press, vol. 13(02), pages 305-306, April.
  9. repec:cup:cbooks:9780521496032 is not listed on IDEAS
  10. 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.
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Cited by:
  1. Emerson Fernandes Marçal & Priscila Fernandes Ribeiro, 2011. "Levado pelos Fundamentos? Estimando o Desalinhamento Cambial Norte-Americano a partir de Técnicas de Cointegração," Discussion Papers 1674, Instituto de Pesquisa Econômica Aplicada - IPEA.

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