Some identification problems in the cointegrated vector autoregressive model

Publikation: Working paperForskning

  • Institut for Økonomi
An analysis of some identification problems in the cointegrated VAR is
given. We give a new criteria for identification by linear restrictions on indi-
vidual relations which is equivalent to the rank condition. We compare the
asymptotic distribution of the estimators of α and β; when they are identified
by linear restrictions on β and when they are identified by linear restrictions
on α; in which case a component of β is asymptotically Gaussian. Finally
we discuss identification of shocks by introducing the contemporaneous and
permanent e¤ect of a shock and the distinction between permanent and transi-
tory shocks, which allows one to identify permanent shocks from the long-run
variance and transitory shocks from the short-run variance.
OriginalsprogEngelsk
UdgivelsesstedAarhus
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider26
StatusUdgivet - 2007

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