Some identification problems in the cointegrated vector autoregressive model

DOI10.1016/J.JECONOM.2010.01.007MaRDI QIDQ736675zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

identificationasymptotic distributioncointegrationcommon trends

Mathematics Subject Classification ID

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

Recommendations

• THE COINTEGRATION PROPERTIES OF VECTOR AUTOREGRESSION MODELS
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• Identifiability of structural singular vector autoregressive models
• The cointegrated vector autoregressive model with general deterministic terms

Cites work

• A THEOREM ON INDEPENDENCE RELATIONS
• A systematic framework for analyzing the dynamic effects of permanent and transitory shocks.
• Asymptotic Statistics
• Asymptotics in statistics: some basic concepts
• Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions
• Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
• Interpreting cointegrating vectors and common stochastic trends
• On a Graphical Technique for Evaluating Some Rational Expectations Models
• Restrictions on the Reduced Form and the Rank and Order Conditions
• Testing hypotheses in an \(I(2)\) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/\$ rate
• The cointegrated VAR model: Methodology and applications.

Cited in

(10)

• Normalising cointegrating relationships subject to long-run exclusion
• IDENTIFICATION AND DICHOTOMIZATION OF LONG- AND SHORT-RUN RELATIONS OF COINTEGRATED VECTOR AUTOREGRESSIVE MODELS
• TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
• Model-based asymptotic inference on the effect of infrequent large shocks on cointegrated variables
• Econometric analysis of structural systems with permanent and transitory shocks
• Regression-based analysis of cointegration systems
• Identification and overidentification in SVECMs
• Identification conditions in simultaneous systems of cointegrating equations with integrated variables of higher order
• On the Identification of Fractionally Cointegrated VAR Models With theF(d)Condition
• A systematic framework for analyzing the dynamic effects of permanent and transitory shocks.

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