Some identification problems in the cointegrated vector autoregressive model

The paper analyses some identification problems in the cointegrated vector autoregressive model. A criteria for identification by linear restrictions on individual relations is given. The asymptotic distribution of the estimators of alpha and beta is derived when they are identified by linear restrictions on beta, and when they are identified by linear restrictions on alpha. It it shown that, in the latter case, a component of (beta) over cap is asymptotically Gaussian. Finally we discuss identification of shocks by introducing the contemporaneous and permanent effect of a shock and the distinction between permanent and transitory shocks, which allows one to identify permanent shocks from the long-run variance and transitory shocks from the shortrun variance. (C) 2010 Elsevier B.V. All rights reserved.