Some Identification Problems in the Cointegrated Vector Autoregressive Model

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Some Identification Problems in the Cointegrated Vector Autoregressive Model. / Johansen, Søren.

I: Journal of Econometrics, Bind 158, Nr. 2, 2010, s. 262-273.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Johansen, S 2010, 'Some Identification Problems in the Cointegrated Vector Autoregressive Model', Journal of Econometrics, bind 158, nr. 2, s. 262-273. https://doi.org/10.1016/j.jeconom.2010.01.007

APA

Johansen, S. (2010). Some Identification Problems in the Cointegrated Vector Autoregressive Model. Journal of Econometrics, 158(2), 262-273. https://doi.org/10.1016/j.jeconom.2010.01.007

Vancouver

Johansen S. Some Identification Problems in the Cointegrated Vector Autoregressive Model. Journal of Econometrics. 2010;158(2):262-273. https://doi.org/10.1016/j.jeconom.2010.01.007

Author

Johansen, Søren. / Some Identification Problems in the Cointegrated Vector Autoregressive Model. I: Journal of Econometrics. 2010 ; Bind 158, Nr. 2. s. 262-273.

Bibtex

@article{c073f100c24511df825b000ea68e967b,
title = "Some Identification Problems in the Cointegrated Vector Autoregressive Model",
abstract = "The paper analyses some identification problems in the cointegrated vector autoregressive model. A criteria for identification by linear restrictions on individual relations is given. The asymptotic distribution of the estimators of a and {\ss} is derived when they are identified by linear restrictions on {\ss}, and when they are identified by linear restrictions on a. It it shown that, in the latter case, a component of 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.",
keywords = "Faculty of Social Sciences, cointegration, common trends",
author = "S{\o}ren Johansen",
note = "JEL classification: C32",
year = "2010",
doi = "10.1016/j.jeconom.2010.01.007",
language = "English",
volume = "158",
pages = "262--273",
journal = "Journal of Econometrics",
issn = "0304-4076",
publisher = "Elsevier",
number = "2",

}

RIS

TY - JOUR

T1 - Some Identification Problems in the Cointegrated Vector Autoregressive Model

AU - Johansen, Søren

N1 - JEL classification: C32

PY - 2010

Y1 - 2010

N2 - The paper analyses some identification problems in the cointegrated vector autoregressive model. A criteria for identification by linear restrictions on individual relations is given. The asymptotic distribution of the estimators of a and ß is derived when they are identified by linear restrictions on ß, and when they are identified by linear restrictions on a. It it shown that, in the latter case, a component of 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.

AB - The paper analyses some identification problems in the cointegrated vector autoregressive model. A criteria for identification by linear restrictions on individual relations is given. The asymptotic distribution of the estimators of a and ß is derived when they are identified by linear restrictions on ß, and when they are identified by linear restrictions on a. It it shown that, in the latter case, a component of 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.

KW - Faculty of Social Sciences

KW - cointegration

KW - common trends

U2 - 10.1016/j.jeconom.2010.01.007

DO - 10.1016/j.jeconom.2010.01.007

M3 - Journal article

VL - 158

SP - 262

EP - 273

JO - Journal of Econometrics

JF - Journal of Econometrics

SN - 0304-4076

IS - 2

ER -

ID: 22043354