Identifying Long-run Behaviour with Non-stationary Data
Results for the identification of non-linear models are used to support the traditional form of the order condition by sufficient conditions. The sufficient conditions reveal a two step procedure for firstly checking generic identification and then testing identifiability. This approach can be extended to sub-blocks of the system and it generalizes to non-linear restrictions. The procedure is applied to an empirical model of the exchange rate, which is identified by diagonalising the system.
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- Ericsson, Neil R & Hendry, David F & Mizon, Grayham E, 1998.
"Exogeneity, Cointegration, and Economic Policy Analysis,"
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