Identifying long-run behaviour with non-stationary data

Luc Bauwens and John Hunter ()

No 2000043, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: Results for the identification of non-linear models are used to support the traditional form of the order condition by sufficient conditions. The sufficient conditions reveal a two step procedure for firstly checking generic identification and then testing identifiability. This approach can be extended to sub-blocks of the system and it generalizes to non-linear restrictions. The procedure is applied to an empirical model of the exchange rate, which is identified by diagonalising the system.

Keywords: Cointegration; Identification; Identifiability; Order Condition; Sufficient Conditions. (search for similar items in EconPapers)
JEL-codes: C10 C22 (search for similar items in EconPapers)
Date: 2000-09
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Citations: View citations in EconPapers (1)

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Working Paper: Identifying Long-run Behaviour with Non-stationary Data
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