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

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningfagfællebedømt

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
TidsskriftJournal of Econometrics
Udgave nummer1
Sider (fra-til)7-36
StatusUdgivet - 1994

Bibliografisk note

JEL classification: C32

ID: 157319