Structural relations, cointegration and identification: Some simple results and their application

DOI10.1016/S0304-4076(98)00007-4zbMATH Open0944.62118WikidataQ127352909 ScholiaQ127352909MaRDI QIDQ1305652FDOQ1305652

Authors V. Pereyra

Publication date 24 September 2000

Published in Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

identificationstructuralcointegration propertyirreducible cointegration vector

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A Wald test of restrictions on the cointegrating space based on Johansen's estimator
• Asymptotic Properties of Residual Based Tests for Cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Cointegration and Dynamic Simultaneous Equations Model
• Comparisons of tests for multivariate cointegration
• Dynamic Econometrics
• Efficient inference on cointegration parameters in structural error correction models
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
• LONG-RUN STRUCTURAL MODELLING
• Optimal Inference in Cointegrated Systems
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Statistical analysis of cointegration vectors
• Testing for a unit root in time series regression
• Time Series Regression with a Unit Root

Cited in

(12)

• Identification robust inference in cointegrating regressions
• Inference on segmented cointegration
• Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
• A sequential test for structural breaks in the causal linkages between the G7 short-term interest rates
• Tests for cointegration with structural breaks based on subsamples
• IDENTIFICATION AND DICHOTOMIZATION OF LONG- AND SHORT-RUN RELATIONS OF COINTEGRATED VECTOR AUTOREGRESSIVE MODELS
• A model of fractional cointegration, and tests for cointegration using the bootstrap.
• Identifying, estimating and testing restricted cointegrated systems: An overview
• On the structure of cointegration
• Identification of the long-run and the short-run structure. An application to the ISLM model
• Estimating cointegrating relations from a cross section
• An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes

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