IDENTIFICATION AND DICHOTOMIZATION OF LONG- AND SHORT-RUN RELATIONS OF COINTEGRATED VECTOR AUTOREGRESSIVE MODELS

DOI10.1017/S026646660117502XzbMATH Open1016.62099OpenAlexW2030301008MaRDI QIDQ4807269FDOQ4807269

Authors: Cheng Hsiao 

Publication date: 18 May 2003

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s026646660117502x

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zbMATH Keywords

error correction representationdynamic simultaneous equations model

Mathematics Subject Classification ID

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

Cited In (7)

• Lag‐augmented two‐ and three‐stage least squares estimators for integrated structural dynamic models
• Some identification problems in the cointegrated vector autoregressive model
• On the identification of cointegrated systems in small samples: a modelling strategy with an application to UK wages and prices.
• Long-run exclusion and the determination of cointegrating rank: Monte Carlo evidence
• Modified two-stage least-squares estimators for the estimation of a structural vector autoregressive integrated process
• Identification of the long-run and the short-run structure. An application to the ISLM model
• Estimation of structural impulse responses: short-run versus long-run identifying restrictions

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