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Identification when data are nonstationary p(p-1) just identifying restrictions on the short-run parameters (equations) r(r-1) just identifying restrictions.

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Presentation on theme: "Identification when data are nonstationary p(p-1) just identifying restrictions on the short-run parameters (equations) r(r-1) just identifying restrictions."— Presentation transcript:

1 Identification when data are nonstationary p(p-1) just identifying restrictions on the short-run parameters (equations) r(r-1) just identifying restrictions on the long-run parameters (relations)

2 Three different aspects

3 Identifying restrictions Generic identification: 1. 2.

4 Just-, over-, and under-identification Correct: Incorrect:

5 Imposing restrictions on all cointegrating relations

6 The switching algorithm

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9 Normalization:

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15 Interpretation as the long-run reduced form Exogeneity assumptions and the Phillips triangular form model Example:

16 Just identitified cointegration relations

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