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Query: faculty: "FEB" and publication year: "1996"

AuthorH.P. Boswijk
TitleTesting identifiablility of cointegrating vectors
JournalJournal of Business & Economic Statistics
FacultyFaculty of Economics and Business
Institute/dept.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
AbstractThis article analyzes the identification and normalization of cointegrating vectors. Normalizing a cointegrating relation with respect to one of the relevant variables is with loss of generality; and restrictions that are supposed to identify a vector may fail to do so for particular parameter values. I propose to tackle both problems by testing whether particular rank conditions are violated. It is shown that Johansen and Juselius's class of likelihood ratio statistics for structural hypotheses in a cointegrated Gaussian vector autoregression may be used for this purpose. The tests are applied to a model of the demand for money in the United Kingdom.
Document typeArticle
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