Identification of the long-run and the short-run structure: an application to the ISLM model

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Standard

Identification of the long-run and the short-run structure : an application to the ISLM model. / Johansen, Søren; Juselius, Katarina.

I: Journal of Econometrics, Bind 63, Nr. 1, 1994, s. 7-36.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Johansen, S & Juselius, K 1994, 'Identification of the long-run and the short-run structure: an application to the ISLM model', Journal of Econometrics, bind 63, nr. 1, s. 7-36. https://doi.org/10.1016/0304-4076(93)01559-5

APA

Johansen, S., & Juselius, K. (1994). Identification of the long-run and the short-run structure: an application to the ISLM model. Journal of Econometrics, 63(1), 7-36. https://doi.org/10.1016/0304-4076(93)01559-5

Vancouver

Johansen S, Juselius K. Identification of the long-run and the short-run structure: an application to the ISLM model. Journal of Econometrics. 1994;63(1):7-36. https://doi.org/10.1016/0304-4076(93)01559-5

Author

Johansen, Søren ; Juselius, Katarina. / Identification of the long-run and the short-run structure : an application to the ISLM model. I: Journal of Econometrics. 1994 ; Bind 63, Nr. 1. s. 7-36.

Bibtex

@article{cb6a9cb074c611dbbee902004c4f4f50,
title = "Identification of the long-run and the short-run structure: an application to the ISLM model",
abstract = "In this paper we discuss the problem of identification in a model with cointegration. It is pointed out that there is an identification problem for both long-run parameters and short-run parameters. The identification of the equations and the cointegrating relations is achieved by linear restrictions on the parameters and a criterion for a statistical model to be identifying is given. We also define empirical identification of an estimated structure. A switching algorithm for calculating the restricted parameters is proposed. The concepts are illustrated with an empirical analysis of the ISLM model using Australian monetary data",
author = "S{\o}ren Johansen and Katarina Juselius",
note = "JEL classification: C32",
year = "1994",
doi = "10.1016/0304-4076(93)01559-5",
language = "English",
volume = "63",
pages = "7--36",
journal = "Journal of Econometrics",
issn = "0304-4076",
publisher = "Elsevier",
number = "1",

}

RIS

TY - JOUR

T1 - Identification of the long-run and the short-run structure

T2 - an application to the ISLM model

AU - Johansen, Søren

AU - Juselius, Katarina

N1 - JEL classification: C32

PY - 1994

Y1 - 1994

N2 - In this paper we discuss the problem of identification in a model with cointegration. It is pointed out that there is an identification problem for both long-run parameters and short-run parameters. The identification of the equations and the cointegrating relations is achieved by linear restrictions on the parameters and a criterion for a statistical model to be identifying is given. We also define empirical identification of an estimated structure. A switching algorithm for calculating the restricted parameters is proposed. The concepts are illustrated with an empirical analysis of the ISLM model using Australian monetary data

AB - In this paper we discuss the problem of identification in a model with cointegration. It is pointed out that there is an identification problem for both long-run parameters and short-run parameters. The identification of the equations and the cointegrating relations is achieved by linear restrictions on the parameters and a criterion for a statistical model to be identifying is given. We also define empirical identification of an estimated structure. A switching algorithm for calculating the restricted parameters is proposed. The concepts are illustrated with an empirical analysis of the ISLM model using Australian monetary data

U2 - 10.1016/0304-4076(93)01559-5

DO - 10.1016/0304-4076(93)01559-5

M3 - Journal article

VL - 63

SP - 7

EP - 36

JO - Journal of Econometrics

JF - Journal of Econometrics

SN - 0304-4076

IS - 1

ER -

ID: 157319