Some Identification Problems in the Cointegrated Vector Autoregressive Model

Publikation: Working paperForskning


  • 0724

    Forlagets udgivne version, 224 KB, PDF-dokument

An analysis of some identification problems in the cointegrated VAR is given. We give a new criteria for identification by linear restrictions on individual relations which is equivalent to the rank condition. We compare the asymptotic distribution of the estimators of a and ß; when they are identified by linear restrictions on ß; and when they are identified by linear restrictions on a; in which case a component of ß^ is asymptotically Gaussian. Finally we discuss identification of shocks by introducing the contemporaneous and permanent effect of a shock and the distinction between permanent and transitory shocks, which allows one to identify permanent shocks from the long-run variance and transitory shocks from the short-run variance
UdgiverDepartment of Economics, University of Copenhagen
Antal sider26
StatusUdgivet - 2007

Bibliografisk note

JEL Classification: C32

Antal downloads er baseret på statistik fra Google Scholar og

Ingen data tilgængelig

ID: 1523746