Normalising cointegrating relationships subject to long-run exclusion

DOI10.1016/j.econlet.2020.109161zbMath1443.62274OpenAlexW3017825591MaRDI QIDQ777694

Takamitsu Kurita

Publication date: 7 July 2020

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2020.109161

zbMATH Keywords

normalisationvector autoregressive (VAR) modelslong-run exclusioncointegrating relationships

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15)

Uses Software

• Ox

Cites Work

• Multivariate modelling of non-stationary economic time series
• Some identification problems in the cointegrated vector autoregressive model
• Statistical analysis of cointegration vectors
• Small sample properties of tests of linear restrictions on cointegrating vectors and their weights
• Identification of the long-run and the short-run structure. An application to the ISLM model
• Estimation bias and bias correction in reduced rank autoregressions
• Unnamed Item