Some Identification Problems in the Cointegrated Vector Autoregressive Model
Research output: Working paper › Research
Documents
- 0724
Final published version, 224 KB, PDF document
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
Original language | English |
---|---|
Publisher | Department of Economics, University of Copenhagen |
Number of pages | 26 |
Publication status | Published - 2007 |
- Faculty of Social Sciences - identification, cointegration, common trends
Research areas
Number of downloads are based on statistics from Google Scholar and www.ku.dk
No data available
ID: 1523746