文章基本信息

标题：Identifying long-run behaviour with non-stationary data.
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作者：Luc BAUWENS ; John HUNTER
期刊名称：CORE Discussion Papers / Center for Operations Research and Econometrics (UCL), Louvain
出版年度：2000
卷号：2000
出版社：Center for Operations Research and Econometrics (UCL), Louvain
摘要：Results for the identiﬁcation of non-linear models are used to support the traditional form of the order condition by suﬃcient conditions. The suﬃcient conditions reveal a two step procedure for ﬁrstly checking generic identiﬁ- cation and then testing identiﬁability. This approach can be extended to sub-blocks of the system and it generalizes to non-linear restrictions. The procedure is applied to an empirical model of the exchange rate, which is identiﬁed by diagonalising the system.
关键词：Cointegration, Identiﬁcation, Identiﬁability, Order Condition, Suf- ﬁcientConditions.