Identification conditions in simultaneous systems of cointegrating equations with integrated variables of higher order

A-Tier
Journal: Journal of Econometrics
Year: 2017
Volume: 198
Issue: 2
Pages: 271-276

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper discusses identification of systems of simultaneous cointegrating equations with integrated variables of order two or higher, under constraints on the cointegration parameters. Rank and order conditions for identification are provided for general linear constraints, covering both cross-equation and equation-by-equation restrictions.

Technical Details

RePEc Handle
repec:eee:econom:v:198:y:2017:i:2:p:271-276
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-26