Identification conditions in simultaneous systems of cointegrating equations with integrated variables of higher order

Rocco Mosconi () and Paolo Paruolo

Journal of Econometrics, 2017, vol. 198, issue 2, 271-276

Abstract: This paper discusses identification of systems of simultaneous cointegrating equations with integrated variables of order two or higher, under constraints on the cointegration parameters. Rank and order conditions for identification are provided for general linear constraints, covering both cross-equation and equation-by-equation restrictions.

Keywords: Identification; (Multi-)Cointegration; I(d); Stocks and flows; Inventory models (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:198:y:2017:i:2:p:271-276

DOI: 10.1016/j.jeconom.2017.01.007

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