Identification of the Long-Run and the Short-Run Structure: An Application to the ISLM Model
AbstractIn 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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Bibliographic InfoPaper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number 92-04.
Length: 36 pages
Date of creation: May 1992
Date of revision:
Publication status: Published in: Journal of Econometrics, 1994, 63(1) pp 7-36
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identification; cointegration; long-run/short-run structure; ISLM model;
Other versions of this item:
- 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, Elsevier, vol. 63(1), pages 7-36, July.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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- Johansen, Soren, 1992. "Cointegration in partial systems and the efficiency of single-equation analysis," Journal of Econometrics, Elsevier, Elsevier, vol. 52(3), pages 389-402, June.
- Glenn Stevens & Susan Thorp & John Anderson, 1987. "The Australian Demand Function for Money: Another Look at Stability," RBA Research Discussion Papers, Reserve Bank of Australia rdp8701, Reserve Bank of Australia.
- Ross Milbourne, 1988. "Disequilibrium Buffer Stock Models: A Survey," Working Papers, Queen's University, Department of Economics 715, Queen's University, Department of Economics.
- Hendry, D.F. & Mizon, G.E., 1990. "Evaluating Dynamic Econometric Models By Encompassing The Var," Economics Series Working Papers 99102, University of Oxford, Department of Economics.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 12(2-3), pages 231-254.
- Milbourne, Ross, 1988. " Disequilibrium Buffer Stock Models: A Survey," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 2(3), pages 187-208.
- Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
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