Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/7571
Title: | Identifying long-run behaviour with non-stationary data |
Authors: | Hunter, J Bauwens, L |
Keywords: | Cointegration;Identification;Identifiability;Order condition;Sufficient conditions |
Issue Date: | 2000 |
Publisher: | Université Catholique de Louvain |
Citation: | CORE Discussion papers, EconPapers 2000043, Sep 2000 |
Abstract: | Results for the identification of non-linear models are used to support the traditional form of the order condition by sufficient conditions. The sufficient conditions reveal a two step procedure for firstly checking generic identification and then testing identifiability. This approach can be extended to sub-blocks of the system and it generalizes to non-linear restrictions. The procedure is applied to an empirical model of the exchange rate, which is identified by diagonalising the system. |
Description: | Copyright @ 2000 Université Catholique de Louvain |
URI: | http://econpapers.repec.org/paper/corlouvco/2000043.htm http://bura.brunel.ac.uk/handle/2438/7571 |
Appears in Collections: | Economics and Finance Publications Dept of Economics and Finance Research Papers |
Files in This Item:
File | Description | Size | Format | |
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dp2000-43.pdf | 132.98 kB | Adobe PDF | View/Open |
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