Some Identification Problems in the Cointegrated Vector Autoregressive Model
Publikation: Working paper › Forskning
Dokumenter
- 0724
Forlagets udgivne version, 224 KB, PDF-dokument
An analysis of some identification problems in the cointegrated VAR is given. We give a new criteria for identification by linear restrictions on individual relations which is equivalent to the rank condition. We compare the asymptotic distribution of the estimators of a and ß; when they are identified by linear restrictions on ß; and when they are identified by linear restrictions on a; in which case a component of ß^ 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
Originalsprog | Engelsk |
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Udgiver | Department of Economics, University of Copenhagen |
Antal sider | 26 |
Status | Udgivet - 2007 |
Bibliografisk note
JEL Classification: C32
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