Identification of the long-run and the short-run structure: an application to the ISLM model
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Identification of the long-run and the short-run structure : an application to the ISLM model. / Johansen, Søren; Juselius, Katarina.
I: Journal of Econometrics, Bind 63, Nr. 1, 1994, s. 7-36.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - Identification of the long-run and the short-run structure
T2 - an application to the ISLM model
AU - Johansen, Søren
AU - Juselius, Katarina
N1 - JEL classification: C32
PY - 1994
Y1 - 1994
N2 - In this paper we discuss the problem of identification in a model with cointegration. It is pointed out that there is an identification problem for both long-run parameters and short-run parameters. The identification of the equations and the cointegrating relations is achieved by linear restrictions on the parameters and a criterion for a statistical model to be identifying is given. We also define empirical identification of an estimated structure. A switching algorithm for calculating the restricted parameters is proposed. The concepts are illustrated with an empirical analysis of the ISLM model using Australian monetary data
AB - In this paper we discuss the problem of identification in a model with cointegration. It is pointed out that there is an identification problem for both long-run parameters and short-run parameters. The identification of the equations and the cointegrating relations is achieved by linear restrictions on the parameters and a criterion for a statistical model to be identifying is given. We also define empirical identification of an estimated structure. A switching algorithm for calculating the restricted parameters is proposed. The concepts are illustrated with an empirical analysis of the ISLM model using Australian monetary data
U2 - 10.1016/0304-4076(93)01559-5
DO - 10.1016/0304-4076(93)01559-5
M3 - Journal article
VL - 63
SP - 7
EP - 36
JO - Journal of Econometrics
JF - Journal of Econometrics
SN - 0304-4076
IS - 1
ER -
ID: 157319