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

DOI10.1016/J.JECONOM.2017.01.007MaRDI QIDQ524820zbMATH OpenOpenAlexFDO

Authors Rocco Mosconi, Paolo Paruolo

Publication date 26 April 2017

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

Copyright license Creative Commons Attribution 4.0 International

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

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)

Recommendations

• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• Cointegration in partial systems and the efficiency of single-equation analysis
• Identification robust inference in cointegrating regressions
• Some identification problems in the cointegrated vector autoregressive model
• A note on the equivalence of long-run and short-run identifying restrictions in cointegrated systems
• Identifying, estimating and testing restricted cointegrated systems: An overview

Cites work

• scientific article; zbMATH DE number 3050102 (Why is no real title available?)
• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
• Identifying, estimating and testing restricted cointegrated systems: An overview
• Likelihood Analysis of the I(2) Model
• Mixed normality and ancillarity in \(I(2)\) systems
• Representations of \(I(2)\) cointegrated systems using the Smith-McMillan form
• 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

This page was built for publication: Identification conditions in simultaneous systems of cointegrating equations with integrated variables of higher order

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q524820)