Some Identification Problems in the Cointegrated Vector Autoregressive Model

TY - JOUR

T1 - Some Identification Problems in the Cointegrated Vector Autoregressive Model

AU - Johansen, Søren

N1 - JEL classification: C32

PY - 2010/10

Y1 - 2010/10

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 α and β is derived when they are identified by linear restrictions on β, and when they are identified by linear restrictions on α. It it shown that, in the latter case, a component of β̂ 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 α and β is derived when they are identified by linear restrictions on β, and when they are identified by linear restrictions on α. It it shown that, in the latter case, a component of β̂ 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

SN - 0304-4076

VL - 158

SP - 262

EP - 273

JO - Journal of Econometrics

JF - Journal of Econometrics

IS - 2

ER -