Some Identification Problems in the Cointegrated Vector Autoregressive Model
AbstractAn analysis of some identification problems in the cointegrated VAR is given. We give a new criteria for identification by linear restrictions on individual relations which is equivalent to the rank condition. We compare the asymptotic distribution of the estimators of a and ß; when they are identified by linear restrictions on ß; and when they are identified by linear restrictions on a; in which case a component of ß^ 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 InfoPaper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number 07-24.
Length: 26 pages
Date of creation: Oct 2007
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identification; cointegration; common trends;
Other versions of this item:
- Johansen, Søren, 2010. "Some identification problems in the cointegrated vector autoregressive model," Journal of Econometrics, Elsevier, Elsevier, vol. 158(2), pages 262-273, October.
- 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.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-11-17 (All new papers)
- NEP-ECM-2007-11-17 (Econometrics)
- NEP-ETS-2007-11-17 (Econometric Time Series)
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