Some Identification Problems in the Cointegrated Vector Autoregressive Model

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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 View the MathML source 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.
Original languageEnglish
JournalJournal of Econometrics
Volume158
Issue number2
Pages (from-to)262-273
Number of pages12
ISSN0304-4076
DOIs
Publication statusPublished - 2010

ID: 22043354