Some Identification Problems in the Cointegrated Vector Autoregressive Model
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- Johansen, Søren, 2010. "Some identification problems in the cointegrated vector autoregressive model," Journal of Econometrics, Elsevier, vol. 158(2), pages 262-273, October.
- Søren Johansen, 2007. "Some identification problems in the cointegrated vector autoregressive model," CREATES Research Papers 2007-32, Department of Economics and Business Economics, Aarhus University.
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More about this item
Keywordsidentification; cointegration; common trends;
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-11-17 (All new papers)
- NEP-ECM-2007-11-17 (Econometrics)
- NEP-ETS-2007-11-17 (Econometric Time Series)
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