Some identification problems in the cointegrated vector autoregressive model

摘要

The paper analyses some identification problems in the cointegrated vector autoregressive model. A criteria for identification by linear restrictions on individual relations is given. The asymptotic distribution of the estimators of a and /J is derived when they are identified by linear restrictions on /J, and when they are identified by linear restrictions on a. It it shown that, in the latter case, a component of ft is asymptotically Gaussian. Finally we discuss identification of shocks by introducing the contemporaneous and permanent effect of a shock and the distinction between permanent and transitory shocks, which allows one to identify permanent shocks from the long-run variance and transitory shocks from the short-run variance.