Identifying restrictions of linear equations with applications to simultaneous equations and cointegration

DOI10.1016/0304-4076(94)01664-LzbMATH Open0832.62100MaRDI QIDQ1899243FDOQ1899243

Søren Johansen

Publication date: 5 March 1996

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

zbMATH Keywords

identificationcointegrationlinear restrictionssimultaneous equationsHall's theoremfull information maximum likelihoodrank conditionFIML

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• Statistical analysis of cointegration vectors
• Optimal Inference in Cointegrated Systems
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• On Representatives of Subsets
• A THEOREM ON INDEPENDENCE RELATIONS
• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• How common is identification in parametric models?
• Identification of the long-run and the short-run structure. An application to the ISLM model
• The death of a mathematical theory. A study in the sociology of knowledge
• Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time- series model

Cited In (24)

• Multi-equational linear quadratic adjustment cost models with rational expectations and cointe\-gration
• Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes
• Some identification problems in the cointegrated vector autoregressive model
• LONG-RUN STRUCTURAL MODELLING
• Search frictions and evolving labour market dynamics
• HAAVELMO’S PROBABILITY APPROACH AND THE COINTEGRATED VAR
• TRYGVE HAAVELMO’S EXPERIMENTAL METHODOLOGY AND SCENARIO ANALYSIS IN A COINTEGRATED VECTOR AUTOREGRESSION
• Trend stationarity in the \(I(2)\) cointegration model.
• Common trends and cycles in I(2) VAR systems
• Structural relations, cointegration and identification: Some simple results and their application
• Efficient inference on cointegration parameters in structural error correction models
• A systematic framework for analyzing the dynamic effects of permanent and transitory shocks.
• A unifying framework for analysing common cyclical features in cointegrated time series
• A survey of exogeneity in vector error correction models
• Dynamic adjustment cost models with forward‐looking behaviour
• On the Nature and Number of the Constraints on the Reduced Form as Implied by the Structural Form
• Identification and estimation of non-Gaussian structural vector autoregressions
• Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time- series model
• Simultaneous equations with covariance restrictions
• Inference on co-integration parameters in heteroskedastic vector autoregressions
• IDENTIFICATION OF COVARIANCE STRUCTURES
• LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
• Accelerated Estimation of Switching Algorithms: The Cointegrated VAR Model and Other Applications
• Identification conditions in simultaneous systems of cointegrating equations with integrated variables of higher order

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