Normalising cointegrating relationships subject to long-run exclusion

摘要

This paper conducts a comparative simulation study in a recursive manner to illuminate a problem with the normalisation of cointegrating vectors that are subject to long-run exclusion. It indicates that pre-testing for long-run exclusion can play a critical role in revealing interpretable structures from non-stationary time series data. (C) 2020 Elsevier B.V. All rights reserved.