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Some Identification Problems in the Cointegrated Vector Autoregressive Model
Søren Johansen
Department of Economics
921
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Dive into the research topics of 'Some Identification Problems in the Cointegrated Vector Autoregressive Model'. Together they form a unique fingerprint.
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Business & Economics
Linear Restrictions
100%
Identification Problem
82%
Vector Autoregressive Model
71%
Permanent and Transitory Shocks
34%
Long-run Variance
34%
Transitory Shocks
31%
Permanent Shock
30%
Asymptotic Distribution
25%
Estimator
17%
Short-run
16%