Identification of the Long-Run and the Short-Run Structure: An Application to the ISLM Model

Soren Johansen and Katarina Juselius

No 92-04, Discussion Papers from University of Copenhagen. Department of Economics

Abstract: In this paper we discuss the problem of identification in a model with cointegration. It is pointed out that there is an identification problem for both long-run parameters and short-run parameters. The identification of the equations and the cointegrating relations is achieved by linear restrictions on the parameters and a criterion for a statistical model to be identifying is given. We also define empirical identification of an estimated structure. A switching algorithm for calculating the restricted parameters is proposed. The concepts are illustrated with an empirical analysis of the ISLM model using Australian monetary data.

Keywords: identification; cointegration; long-run/short-run structure; ISLM model (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 36 pages
Date: 1992-05
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Published in: Journal of Econometrics, 1994, 63(1) pp 7-36

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Journal Article: Identification of the long-run and the short-run structure an application to the ISLM model (1994)
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Persistent link: https://EconPapers.repec.org/RePEc:kud:kuiedp:9204

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