Testing Identifiability of Cointegrating Vectors

Boswijk, H. Peter

doi:10.2307/1392426

Cited by 27 publications

(10 citation statements)

References 22 publications

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“…The use of linear identifying restrictions requires the assumption that we have some minimal knowledge of the cointegrating space such that we know the appropriate restrictions to apply (this same point is made in Mellander et al, 1992). In various papers such as Boswijk (1996), Luukkonen et al (1999), and Strachan (2003), however, examples of seemingly sensible restrictions of this form are shown, in fact, to be invalid.…”

Section: The Modelmentioning

confidence: 99%

Bayesian Inference in CointegratedI(2) Systems: A Generalization of the Triangular Model

Strachan

2007

Econometric Reviews

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This paper generalizes the cointegrating model of Phillips (1991) to allow for I (0), I (1) and I (2) processes. The model has a simple form that permits a wider range of I (2) processes than are usually considered, including a more flexible form of polynomial cointegration. Further, the specification relaxes restrictions identified by Phillips (1991) on the I (1) and I (2) cointegrating vectors and restrictions on how the stochastic trends enter the system. To date there has been little work on Bayesian I (2) analysis and so this paper attempts to address this gap in the literature. A method of Bayesian inference in potentially I (2) processes is presented with application to Australian money demand using a Jeffreys prior and a shrinkage prior.

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Section: The Modelmentioning

confidence: 99%

Bayesian Inference in CointegratedI(2) Systems: A Generalization of the Triangular Model

Strachan

2007

Econometric Reviews

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“…By a suitable rearrangement of the variables it can always be ensured that the normalization ]~' = [It : ~ig-~)] is possible. Test procedures exist for checking the normalization empirically if a proper ordering of the variables is not known a priori (Boswijk, 1996;Saikkonen, 1999).…”

Section: Estimationmentioning

confidence: 99%

Structural vector autoregressive analysis for cointegrated variables

Lütkepohl

2006

Allgemeines Statistisches Arch

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“…A ÿrst issue with linear identifying restrictions is the speciÿcation of c. The practical problems in classical analysis of incorrectly selecting c are discussed in Boswijk (1996) and Luukkonen et al (1999) and in Bayesian analysis by Strachan (2003). Assuming known c, the pathologies and complicating features (for analysis) of the posterior for ÿ 2 with a at prior, such as multimodality, nonexistence of moments and (under some speciÿcations) non-integrability of the posterior have been detailed by KVD and Bauwens and Lubrano (1996).…”

Section: Linear Restrictions and The Cointegrating Spacementioning

confidence: 99%