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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- Johansen, Soren, 1992.
"Testing weak exogeneity and the order of cointegration in UK money demand data,"
Journal of Policy Modeling,
Elsevier, vol. 14(3), pages 313-334, June.
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- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
- Ericsson, Neil R & Hendry, David F & Mizon, Grayham E, 1998. "Exogeneity, Cointegration, and Economic Policy Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 370-387, October.
- Neil R. Ericsson & David F. Hendry & Grayham E. Mizon, 1998. "Exogeneity, cointegration, and economic policy analysis," International Finance Discussion Papers 616, Board of Governors of the Federal Reserve System (U.S.).
- 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. Full references (including those not matched with items on IDEAS)
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