Rank and order conditions for identification in simultaneous system of cointegrating equations with integrated variables of order two

Rocco Mosconi () and Paolo Paruolo

MPRA Paper from University Library of Munich, Germany

Abstract: This paper discusses identification of systems of simultaneous cointegrating equations with integrated variables of order two. Rank and order conditions for identification are provided for general linear restrictions, as well as for equation-by-equation constraints. As expected, the application of the rank conditions to triangular forms and other previous formulations for these systems shows that they are just-identifying. The conditions are illustrated on models of aggregate consumption with liquid assets and on system of equations for inventories.

Keywords: Identification; (Multi-)Cointegration; I(2); Stocks and flows; Inventory models. (search for similar items in EconPapers)
JEL-codes: C10 C32 (search for similar items in EconPapers)
Date: 2014-01-15
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-sog
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:53589

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