Some Identification Problems in the Cointegrated Vector Autoregressive Model

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 -