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

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

Authors: Søren Johansen 

Publication date: 5 March 1996

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

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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

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• Statistical analysis of cointegration vectors
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• On Representatives of Subsets
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• 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 (30)

• 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
• Title not available (Why is that?)
• HAAVELMO’S PROBABILITY APPROACH AND THE COINTEGRATED VAR
• TRYGVE HAAVELMO’S EXPERIMENTAL METHODOLOGY AND SCENARIO ANALYSIS IN A COINTEGRATED VECTOR AUTOREGRESSION
• On the admissible transformation view on identification for a linear simultaneous equation model
• 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
• On Identification with Covariance Restrictions: A Correction and an Extension
• 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
• Method‐of‐moment view of linear simultaneous equation systems
• 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
• Simultaneous equations in ordered discrete responses with regressor‐dependent thresholds
• On the interpretation and identification of simultaneous-equation models
• Identification conditions in simultaneous systems of cointegrating equations with integrated variables of higher order

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