Some Identification Problems in the Cointegrated Vector Autoregressive Model

Soren Johansen

No 07-24, Discussion Papers from University of Copenhagen. Department of Economics

Abstract: An analysis of some identification problems in the cointegrated VAR is given. We give a new criteria for identification by linear restrictions on individual relations which is equivalent to the rank condition. We compare the asymptotic distribution of the estimators of a and ß; when they are identified by linear restrictions on ß; and when they are identified by linear restrictions on a; in which case a component of ß^ is asymptotically Gaussian. Finally we discuss identification of shocks by introducing the contemporaneous and permanent effect of a shock and the distinction between permanent and transitory shocks, which allows one to identify permanent shocks from the long-run variance and transitory shocks from the short-run variance.

Keywords: identification; cointegration; common trends (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2007-10
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.econ.ku.dk/english/research/publications/wp/2007/0724.pdf/ (application/pdf)

Related works:
Journal Article: Some identification problems in the cointegrated vector autoregressive model (2010)
Working Paper: Some identification problems in the cointegrated vector autoregressive model (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kud:kuiedp:0724

Access Statistics for this paper

More papers in Discussion Papers from University of Copenhagen. Department of Economics Oester Farimagsgade 5, Building 26, DK-1353 Copenhagen K., Denmark. Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Hoffmann ().