Some Identification Problems in the Cointegrated Vector Autoregressive Model
Publikation: Working paper › Forskning
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Some Identification Problems in the Cointegrated Vector Autoregressive Model. / Johansen, Søren.
Department of Economics, University of Copenhagen, 2007.Publikation: Working paper › Forskning
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TY - UNPB
T1 - Some Identification Problems in the Cointegrated Vector Autoregressive Model
AU - Johansen, Søren
N1 - JEL Classification: C32
PY - 2007
Y1 - 2007
N2 - 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
AB - 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
KW - Faculty of Social Sciences
KW - identification
KW - cointegration
KW - common trends
M3 - Working paper
BT - Some Identification Problems in the Cointegrated Vector Autoregressive Model
PB - Department of Economics, University of Copenhagen
ER -
ID: 1523746