Work

Identifiability of cointegrated systems

Year: 1995

Type: article

Abstract: This paper stipulates conditions for identifiability of the parameters of a cointegrated VAR model under general linear restrictions, possibly including cross-equation restrictions. An algorithm is given to obtain the maximum likelihood estimators under such restrictions on both the cointegrating vectors and the adjustment parameters. Then the asymptotic distribution of the estimator and of the likelihood ratio statistic for the over-identifying restrictions is given. The importance of the observed information matrix for identification issues is emphasized.

Author: H. Peter Boswijk

Institution: University of Amsterdam

Language: English

Topic: Monetary Policy and Economic Impact

Subfield: General Economics, Econometrics and Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: National Cancer Institute, NIH Clinical Center

Awards: G1667842547, Improving the Clinical Effectiveness and Understanding of the Biophysical Basis

OpenAlex ID: W31519016

FWCI:

Cites: 19

Cited by: 46

Related to: 10