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

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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 equationbyequation constraints. As expected, the application of the rank conditions to triangular forms and other previous formulations for these systems shows that they are justidentifying. The conditions are illustrated on models of aggregate consumption with liquid assets and on system of equations for inventories.
Item Type:  MPRA Paper 

Original Title:  Rank and order conditions for identification in simultaneous system of cointegrating equations with integrated variables of order two 
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  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models 
Item ID:  53589 
Depositing User:  Rocco Mosconi 
Date Deposited:  12 Feb 2014 12:11 
Last Modified:  27 Sep 2019 01:56 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/53589 