Some Identification Problems in the Cointegrated Vector Autoregressive Model
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Some Identification Problems in the Cointegrated Vector Autoregressive Model. / Johansen, Søren.
In: Journal of Econometrics, Vol. 158, No. 2, 2010, p. 262-273.Research output: Contribution to journal › Journal article › Research › peer-review
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TY - JOUR
T1 - Some Identification Problems in the Cointegrated Vector Autoregressive Model
AU - Johansen, Søren
N1 - JEL classification: C32
PY - 2010
Y1 - 2010
N2 - The paper analyses some identification problems in the cointegrated vector autoregressive model. A criteria for identification by linear restrictions on individual relations is given. The asymptotic distribution of the estimators of a and ß is derived when they are identified by linear restrictions on ß, and when they are identified by linear restrictions on a. It it shown that, in the latter case, a component of 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 - The paper analyses some identification problems in the cointegrated vector autoregressive model. A criteria for identification by linear restrictions on individual relations is given. The asymptotic distribution of the estimators of a and ß is derived when they are identified by linear restrictions on ß, and when they are identified by linear restrictions on a. It it shown that, in the latter case, a component of 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 - cointegration
KW - common trends
U2 - 10.1016/j.jeconom.2010.01.007
DO - 10.1016/j.jeconom.2010.01.007
M3 - Journal article
VL - 158
SP - 262
EP - 273
JO - Journal of Econometrics
JF - Journal of Econometrics
SN - 0304-4076
IS - 2
ER -
ID: 22043354