Identification conditions in simultaneous systems of cointegrating equations with integrated variables of higher order

DOI10.1016/J.JECONOM.2017.01.007zbMATH Open1395.62362OpenAlexW2591408932MaRDI QIDQ524820FDOQ524820

Rocco Mosconi, Paolo Paruolo

Publication date: 26 April 2017

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.01.007

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zbMATH Keywords

identification(multi-)cointegrationgeneral linear constraintsI\((d)\)inventory modelsstocks and flows

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
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• Likelihood Analysis of the I(2) Model
• Title not available (Why is that?)
• Mixed normality and ancillarity in \(I(2)\) systems
• Representations of \(I(2)\) cointegrated systems using the Smith-McMillan form
• Identifying, estimating and testing restricted cointegrated systems: An overview
• Testing hypotheses in an \(I(2)\) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/\$ rate

Cited In (2)

• Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
• IDENTIFICATION AND DICHOTOMIZATION OF LONG- AND SHORT-RUN RELATIONS OF COINTEGRATED VECTOR AUTOREGRESSIVE MODELS

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