On the Identification of Fractionally Cointegrated VAR Models With the F(d) Condition

@inproceedings{Carlini2013OnTI,
  title={On the Identification of Fractionally Cointegrated VAR Models With the F(d) Condition},
  author={Federico Carlini and Paolo Santucci de Magistris},
  year={2013}
}
ABSTRACTThis article discusses identification problems in the fractionally cointegrated system of Johansen and Johansen and Nielsen. It is shown that several equivalent reparametrizations of the model associated with different fractional integration and cointegration parameters may exist for any choice of the lag-length when the true cointegration rank is known. The properties of these multiple nonidentified models are studied and a necessary and sufficient condition for the identification of… CONTINUE READING

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