Some identification problems in the cointegrated vector autoregressive model
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Publication:736675
DOI10.1016/J.JECONOM.2010.01.007zbMATH Open1431.62633OpenAlexW3123693751MaRDI QIDQ736675FDOQ736675
Authors: Søren Johansen 
Publication date: 4 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.01.007
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Cites Work
- Asymptotic Statistics
- Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
- Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions
- Asymptotics in statistics: some basic concepts
- A THEOREM ON INDEPENDENCE RELATIONS
- Restrictions on the Reduced Form and the Rank and Order Conditions
- The cointegrated VAR model: Methodology and applications.
- Testing hypotheses in an \(I(2)\) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/\$ rate
- Interpreting cointegrating vectors and common stochastic trends
- On a Graphical Technique for Evaluating Some Rational Expectations Models
- A systematic framework for analyzing the dynamic effects of permanent and transitory shocks.
Cited In (10)
- Econometric analysis of structural systems with permanent and transitory shocks
- Identification and overidentification in SVECMs
- IDENTIFICATION AND DICHOTOMIZATION OF LONG- AND SHORT-RUN RELATIONS OF COINTEGRATED VECTOR AUTOREGRESSIVE MODELS
- Model-based asymptotic inference on the effect of infrequent large shocks on cointegrated variables
- A systematic framework for analyzing the dynamic effects of permanent and transitory shocks.
- Regression-based analysis of cointegration systems
- On the Identification of Fractionally Cointegrated VAR Models With theF(d)Condition
- Normalising cointegrating relationships subject to long-run exclusion
- TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
- Identification conditions in simultaneous systems of cointegrating equations with integrated variables of higher order
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