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Identification of the Long-Run and the Short-Run Structure: An Application to the ISLM Model

  • Søren Johansen

    (Institute of Mathematical Statistics, University of Copenhagen)

  • Katarina Juselius

    (Institute of Economics, University of Copenhagen)

In this paper we discuss the problem of identification in a model with cointegration. It is pointed out that there is an identification problem for both long-run parameters and short-run parameters. The identification of the equations and the cointegrating relations is achieved by linear restrictions on the parameters and a criterion for a statistical model to be identifying is given. We also define empirical identification of an estimated structure. A switching algorithm for calculating the restricted parameters is proposed. The concepts are illustrated with an empirical analysis of the ISLM model using Australian monetary data.

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Paper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number 92-04.

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Length: 36 pages
Date of creation: May 1992
Date of revision:
Publication status: Published in: Journal of Econometrics, 1994, 63(1) pp 7-36
Handle: RePEc:kud:kuiedp:9204
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  1. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  2. Johansen, Soren, 1992. "Cointegration in partial systems and the efficiency of single-equation analysis," Journal of Econometrics, Elsevier, vol. 52(3), pages 389-402, June.
  3. Ross Milbourne, 1988. "Disequilibrium Buffer Stock Models: A Survey," Working Papers 715, Queen's University, Department of Economics.
  4. Glenn Stevens & Susan Thorp & John Anderson, 1987. "The Australian Demand Function for Money: Another Look at Stability," RBA Research Discussion Papers rdp8701, Reserve Bank of Australia.
  5. Milbourne, Ross, 1988. " Disequilibrium Buffer Stock Models: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 2(3), pages 187-208.
  6. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  7. Hendry, D.F. & Mizon, G.E., 1990. "Evaluating Dynamic Econometric Models By Encompassing The Var," Economics Series Working Papers 99102, University of Oxford, Department of Economics.
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