Identifying restrictions of linear equations with applications to simultaneous equations and cointegration

DOI10.1016/0304-4076(94)01664-LzbMath0832.62100MaRDI QIDQ1899243

Søren Glud Johansen

Publication date: 5 March 1996

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

identificationcointegrationsimultaneous equationslinear restrictionsHall's theoremfull information maximum likelihoodrank conditionFIML

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20)

Related Items (22)

Common trends and cycles in I(2) VAR systems ⋮ Efficient inference on cointegration parameters in structural error correction models ⋮ Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time- series model ⋮ LONG-RUN STRUCTURAL MODELLING ⋮ Accelerated Estimation of Switching Algorithms: The Cointegrated VAR Model and Other Applications ⋮ A survey of exogeneity in vector error correction models ⋮ Search frictions and evolving labour market dynamics ⋮ Multi-equational linear quadratic adjustment cost models with rational expectations and cointe\-gration ⋮ Identification conditions in simultaneous systems of cointegrating equations with integrated variables of higher order ⋮ Identification and estimation of non-Gaussian structural vector autoregressions ⋮ IDENTIFICATION OF COVARIANCE STRUCTURES ⋮ A systematic framework for analyzing the dynamic effects of permanent and transitory shocks. ⋮ LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS ⋮ Inference on co-integration parameters in heteroskedastic vector autoregressions ⋮ Some identification problems in the cointegrated vector autoregressive model ⋮ Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes ⋮ Dynamic adjustment cost models with forward‐looking behaviour ⋮ A unifying framework for analysing common cyclical features in cointegrated time series ⋮ HAAVELMO’S PROBABILITY APPROACH AND THE COINTEGRATED VAR ⋮ TRYGVE HAAVELMO’S EXPERIMENTAL METHODOLOGY AND SCENARIO ANALYSIS IN A COINTEGRATED VECTOR AUTOREGRESSION ⋮ Trend stationarity in the \(I(2)\) cointegration model. ⋮ Structural relations, cointegration and identification: Some simple results and their application

Cites Work

• Unnamed Item
• Unnamed Item
• Statistical analysis of cointegration vectors
• How common is identification in parametric models?
• Identification of the long-run and the short-run structure. An application to the ISLM model
• Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time- series model
• The death of a mathematical theory. A study in the sociology of knowledge
• Optimal Inference in Cointegrated Systems
• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• On Representatives of Subsets
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• A THEOREM ON INDEPENDENCE RELATIONS
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

This page was built for publication: Identifying restrictions of linear equations with applications to simultaneous equations and cointegration