Identification of the Long-Run and the Short-Run Structure: An Application to the ISLM Model

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Identification of the Long-Run and the Short-Run Structure: An Application to the ISLM Model

Author Info

Søren Johansen (Institute of Mathematical Statistics, University of Copenhagen)
Katarina Juselius (Institute of Economics, University of Copenhagen)

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Abstract

In this paper we discuss the problem of identification in a model with cointegration. It is pointed out that there is an identification problem for both long-run parameters and short-run parameters. The identification of the equations and the cointegrating relations is achieved by linear restrictions on the parameters and a criterion for a statistical model to be identifying is given. We also define empirical identification of an estimated structure. A switching algorithm for calculating the restricted parameters is proposed. The concepts are illustrated with an empirical analysis of the ISLM model using Australian monetary data.

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Paper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number 92-04.

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Length: 36 pages
Date of creation: May 1992
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Publication status: Published in: Journal of Econometrics, 1994, 63(1) pp 7-36
Handle: RePEc:kud:kuiedp:9204

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Article
- Johansen, Soren & Juselius, Katarina, 1994. "Identification of the long-run and the short-run structure an application to the ISLM model," Journal of Econometrics, Elsevier, vol. 63(1), pages 7-36, July. [Downloadable!] (restricted)

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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