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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 on the long-run parameters (relations)
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Three different aspects
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Identifying restrictions Generic identification: 1. 2.
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Just-, over-, and under-identification Correct: Incorrect:
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Imposing restrictions on all cointegrating relations
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The switching algorithm
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Normalization:
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Interpretation as the long-run reduced form Exogeneity assumptions and the Phillips triangular form model Example:
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Just identitified cointegration relations
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