Structural relations, cointegration and identification: some simple results and their application
نویسنده
چکیده
This paper presents and applies some results on the interpretation of cointegrating regressions. The key concept is the irreducible cointegrating (IC) relation, one from which no variable can be omitted without loss of the cointegration property. Extending earlier results, it is shown that under certain circumstances, IC relations are identified structural forms. It is possible, at least in principle, to learn about the structure of simultaneous long-run relations directly from cointegration analyses, in contrast with the well-known fact that no such knowledge can be obtained from the correlations between stationary variables. IC relations can also be estimated by asymptotically mixed Gaussian and median unbiased estimators, permitting standard inference. MINIMAL, an algorithm for extracting the IC subsets of a data set, is applied to variety of artificial and actual data. ( 1998 Elsevier Science S.A. All rights reserved. JEL classification: C32
منابع مشابه
Excerpt from: “Structural Relations, Cointegration and Identification: Some Simple Results and Their Application” (Working Pa
An important question is the role of these results under mis-specification. It has been assumed thus far that the variables in the investigation are linked by a closed dynamic system of form (2.5), in which β has a structural interpretation. We should also know how to interpret regressions when some variables that appear in the long-run solution of (2.5) are missing from the data set. Of course...
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