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 α and β is derived when they are identified by linear restrictions on β , and when they are identified by linear restrictions on α . It it shown that, in the latter case, a component of β ˆ 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 short-run variance.