Identification of the long-run and the short-run structure: an application to the ISLM model

Research output: Contribution to journalJournal articleResearchpeer-review

334 Citations (Scopus)

Abstract

In this paper we discuss the problem of identification in a model with cointegration. It is pointed out that there is an identification problem for both long-run parameters and short-run parameters. The identification of the equations and the cointegrating relations is achieved by linear restrictions on the parameters and a criterion for a statistical model to be identifying is given. We also define empirical identification of an estimated structure. A switching algorithm for calculating the restricted parameters is proposed. The concepts are illustrated with an empirical analysis of the ISLM model using Australian monetary data
Original languageEnglish
JournalJournal of Econometrics
Volume63
Issue number1
Pages (from-to)7-36
ISSN0304-4076
DOIs
Publication statusPublished - 1994

Cite this