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)

Recommendations

• Identification of the long-run and the short-run structure. An application to the ISLM model
• Cointegration and Dynamic Simultaneous Equations Model
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• IDENTIFICATION AND DICHOTOMIZATION OF LONG- AND SHORT-RUN RELATIONS OF COINTEGRATED VECTOR AUTOREGRESSIVE MODELS

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)

Cites Work

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

Cited In (10)

• A sequential test for structural breaks in the causal linkages between the G7 short-term interest rates
• Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
• 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.
• Tests for cointegration with structural breaks based on subsamples
• Estimating cointegrating relations from a cross section
• An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes
• Identification of the long-run and the short-run structure. An application to the ISLM model
• Identifying, estimating and testing restricted cointegrated systems: An overview
• On the structure of cointegration

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