Normalising cointegrating relationships subject to long-run exclusion

Takamitsu Kurita

Economics Letters, 2020, vol. 192, issue C

Abstract: This paper conducts a comparative simulation study in a recursive manner to illuminate a problem with the normalisation of cointegrating vectors that are subject to long-run exclusion. It indicates that pre-testing for long-run exclusion can play a critical role in revealing interpretable structures from non-stationary time series data.

Keywords: Cointegrating relationships; Vector autoregressive (VAR) models; Normalisation; Long-run exclusion (search for similar items in EconPapers)
JEL-codes: C32 C52 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:192:y:2020:i:c:s0165176520301269

DOI: 10.1016/j.econlet.2020.109161

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