Identification conditions in simultaneous systems of cointegrating equations with integrated variables of higher order

DOI10.1016/j.jeconom.2017.01.007zbMath1395.62362OpenAlexW2591408932MaRDI QIDQ524820

Rocco Mosconi, Paolo Paruolo

Publication date: 26 April 2017

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.01.007

zbMATH Keywords

identificationinventory models(multi-)cointegrationgeneral linear constraintsI\((d)\)stocks and flows

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Unnamed Item
• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• Testing hypotheses in an \(I(2)\) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/\$ rate
• Representations of \(I(2)\) cointegrated systems using the Smith-McMillan form
• Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
• MIXED NORMALITY AND ANCILLARITY IN I(2) SYSTEMS
• Likelihood Analysis of the I(2) Model
• Identifying, estimating and testing restricted cointegrated systems: An overview
• Co-Integration and Error Correction: Representation, Estimation, and Testing

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