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Some identification problems in the cointegrated vector autoregressive model

  • Johansen, Søren

The paper analyses some identification problems in the cointegrated vector autoregressive model. A criteria for identification by linear restrictions on individual relations is given. The asymptotic distribution of the estimators of [alpha] and [beta] is derived when they are identified by linear restrictions on [beta], and when they are identified by linear restrictions on [alpha]. It it shown that, in the latter case, a component of 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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File URL: http://www.sciencedirect.com/science/article/B6VC0-4Y646PC-6/2/aa271021dd55119f2a681aa10b15e12b
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 158 (2010)
Issue (Month): 2 (October)
Pages: 262-273

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Handle: RePEc:eee:econom:v:158:y:2010:i:2:p:262-273
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Paruolo, Paolo, 1997. "Asymptotic Inference on the Moving Average Impact Matrix in Cointegrated 1(1) VAR Systems," Econometric Theory, Cambridge University Press, vol. 13(01), pages 79-118, February.
  2. Pesaran, M.H., 1996. "The Role of Economic Theory in Modelling the Long Run," Cambridge Working Papers in Economics 9612, Faculty of Economics, University of Cambridge.
  3. Paruolo, Paolo, 1997. "Standard Errors for the Long-Run Variance Matrix," Econometric Theory, Cambridge University Press, vol. 13(02), pages 305-306, April.
  4. Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," NBER Working Papers 2737, National Bureau of Economic Research, Inc.
  5. Paruolo Paolo, 2004. "The likelihood ratio test for the rank of a cointegration submatrix," Economics and Quantitative Methods qf04024, Department of Economics, University of Insubria.
  6. Proietti, Tommaso, 1997. "Short-Run Dynamics in Cointegrated Systems," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(3), pages 405-22, August.
  7. Wickens, Michael R., 1996. "Interpreting cointegrating vectors and common stochastic trends," Journal of Econometrics, Elsevier, vol. 74(2), pages 255-271, October.
  8. 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.
  9. Juselius, Katarina, 2006. "The Cointegrated VAR Model: Methodology and Applications," OUP Catalogue, Oxford University Press, number 9780199285679, March.
  10. repec:cup:cbooks:9780521496032 is not listed on IDEAS
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