Rank and order conditions for identification in simultaneous system of cointegrating equations with integrated variables of order two

Mosconi, Rocco and Paruolo, Paolo (2014): Rank and order conditions for identification in simultaneous system of cointegrating equations with integrated variables of order two.

Abstract

This paper discusses identification of systems of simultaneous cointegrating equations with integrated variables of order two. Rank and order conditions for identification are provided for general linear restrictions, as well as for equation-by-equation constraints. As expected, the application of the rank conditions to triangular forms and other previous formulations for these systems shows that they are just-identifying. The conditions are illustrated on models of aggregate consumption with liquid assets and on system of equations for inventories.

• Item Type: MPRA Paper
• Language: English
• Keywords: Identification, (Multi-)Cointegration, I(2), Stocks and flows, Inventory models.
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C10 - General; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models

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