Normalising cointegrating relationships subject to long-run exclusion

被引：1

作者：

Kurita, Takamitsu ^{[1
]}

机构：

[1] Fukuoka Univ, Fac Econ, Fukuoka, Japan

来源：

ECONOMICS LETTERS | 2020年 / 192卷

关键词：

Cointegrating relationships; Vector autoregressive (VAR) models; Normalisation; Long-run exclusion; LINEAR RESTRICTIONS; VECTORS; IDENTIFICATION; RANK;

D O I：

10.1016/j.econlet.2020.109161

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper conducts a comparative simulation study in a recursive manner to illuminate a problem with the normalisation of cointegrating vectors that are subject to long-run exclusion. It indicates that pre-testing for long-run exclusion can play a critical role in revealing interpretable structures from non-stationary time series data. (C) 2020 Elsevier B.V. All rights reserved.

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页数：4

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