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|Title:||Identification conditions in simultaneous systems of cointegrating equations of higher order|
|Authors:||MOSCONI ROCCO; PARUOLO PAOLO|
|Citation:||JOURNAL OF ECONOMETRICS vol. 198 no. 2 p. 271-276|
|Publisher:||ELSEVIER SCIENCE SA|
|Type:||Articles in periodicals and books|
|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.|
|JRC Directorate:||Joint Research Centre Corporate Activities|
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