Identification of the long-run and the short-run structure: an application to the ISLM model

TY - JOUR

T1 - Identification of the long-run and the short-run structure

T2 - an application to the ISLM model

AU - Johansen, Søren

AU - Juselius, Katarina

N1 - JEL classification: C32

PY - 1994

Y1 - 1994

N2 - 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

AB - 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

U2 - 10.1016/0304-4076(93)01559-5

DO - 10.1016/0304-4076(93)01559-5

M3 - Journal article

SN - 0304-4076

VL - 63

SP - 7

EP - 36

JO - Journal of Econometrics

JF - Journal of Econometrics

IS - 1

ER -