论文信息 - Identifying restrictions of linear equations with applications to simultaneous equations and cointegration

Identifying restrictions of linear equations with applications to simultaneous equations and cointegration

The identification problem for simultaneous equations is solved by the well-known rank condition which gives a necessary and sufficient condition for the parameters to be uniquely or statistically identified by linear restrictions. This paper formulates and solves another problem: Given a set of linear restrictions, which conditions should they satisfy for most parameter values to be identified? The main result of the paper is a simple algebraic condition on a set of linear restrictions that guarantees that most parameters satisfying the restrictions are uniquely identified.

Søren Johansen | S. Johansen

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