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Identifying long-run behaviour with non-stationary data

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  • BAUWENS, Luc
  • HUNTER, John

Abstract

Results for the identification of non-linear models are used to support the traditional form of the order condition by sufficient conditions. The sufficient conditions reveal a two step procedure for firstly checking generic identification and then testing identifiability. This approach can be extended to sub-blocks of the system and it generalizes to non-linear restrictions. The procedure is applied to an empirical model of the exchange rate, which is identified by diagonalising the system.

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Paper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number 2000043.

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Date of creation: 00 Sep 2000
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Handle: RePEc:cor:louvco:2000043

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Keywords: Cointegration; Identification; Identifiability; Order Condition; Sufficient Conditions.;

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  1. Johansen, S., 1991. "Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data," Papers 78, Helsinki - Department of Economics.
  2. 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.
  3. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
  4. Hunter, J., 1990. "Cointegrating exogeneity," Economics Letters, Elsevier, vol. 34(1), pages 33-35, September.
  5. Neil R. Ericsson & David F. Hendry & Grayham E. Mizon, 1998. "Exogeneity, cointegration, and economic policy analysis," International Finance Discussion Papers 616, Board of Governors of the Federal Reserve System (U.S.).
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