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Rank and order conditions for identification in simultaneous system of cointegrating equations with integrated variables of order two

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  • Mosconi, Rocco
  • Paruolo, Paolo

Abstract

This paper discusses identification of systems of simultaneous cointegrating equations with integrated variables of order two. Rank and order conditions for identification are provided for general linear restrictions, as well as for equation-by-equation constraints. As expected, the application of the rank conditions to triangular forms and other previous formulations for these systems shows that they are just-identifying. The conditions are illustrated on models of aggregate consumption with liquid assets and on system of equations for inventories.

Suggested Citation

  • Mosconi, Rocco & Paruolo, Paolo, 2014. "Rank and order conditions for identification in simultaneous system of cointegrating equations with integrated variables of order two," MPRA Paper 53589, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:53589
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    File URL: https://mpra.ub.uni-muenchen.de/53589/1/MPRA_paper_53589.pdf
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    References listed on IDEAS

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    Cited by:

    1. Federico Carlini & Katarzyna Lasak, 2014. "On an Estimation Method for an Alternative Fractionally Cointegrated Model," CREATES Research Papers 2014-15, Department of Economics and Business Economics, Aarhus University.
    2. Juselius, Katarina & Dimelis, Sophia, 2019. "The Greek crisis: A story of self-reinforcing feedback mechanisms," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 13, pages 1-22.
    3. Federico Carlini & Katarzyna (K.A.) Lasak, 2018. "Likelihood based inference for an Identifiable Fractional Vector Error Correction Model," Tinbergen Institute Discussion Papers 18-085/III, Tinbergen Institute.

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    More about this item

    Keywords

    Identification; (Multi-)Cointegration; I(2); Stocks and flows; Inventory models.;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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