A central assumption for identifying structural shocks in vector autoregressive (VAR) models via heteroskedasticity is the time-invariance of the impact effects of the shocks. It is shown how that assumption can be tested when longrun restrictions are available for identifying structural shocks....

This paper provides a unifying framework in which the coexistence of different form of common cyclical features can be tested and imposed to a cointegrated VAR model. This goal is reached by introducing a new notion of common cyclical features, namely the weak form of polynomial serial...

The rational expectation hypothesis is widely used in finance and macroeconomics. A natural research question comprises investigating whether models that use this hypothesis can fit the data well. Researchers have been developing econometric procedures to test rational expectation models....

An analysis of some identification problems in the cointegrated VAR is given. We give a new criteria for identification by linear restrictions on individual relations which is equivalent to the rank condition. We compare the asymptotic distribution of the estimators of alpha and beta when they...

This paper discusses a number of likelihood ratio tests on long-run relations and common trends in the I(2) model and provide new results on the test of overidentifying restrictions on beta xt and the asymptotic variance for the stochastic trends parameters, alpha 1: How to specify deterministic...

In this paper long-run forecasting of multicointegrating variables is investigated. Multicointegration typically occurs in dynamic systems involving both stock and flow variables whereby a common feature in the form of shared stochastic trends is present across different levels of multiple time...