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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
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

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