Multivariate Modelling of Non-Stationary Economic Time Series by John Hunter Simon P. Burke & Alessandra Canepa

Author:John Hunter, Simon P. Burke & Alessandra Canepa
Language: eng
Format: epub
Publisher: Palgrave Macmillan UK, London

where R 1 ∗′ is the restriction matrix including the normalization and B 3 ∪ B 4 defines the null associated with non-identifiability. Consider the following example, developed from Boswijk (1996), where n = 3, r = 2 and H 02 is satisfied when j = 2 = r 2 − r restrictions identify β:

Selecting the normalization, a = 1 and d = 1, it follows from Boswijk (1996) that the first vector in β ′ is identifiable when the matrix H 2 has full rank. To discriminate between failure of normalization and other types of failure, a further rank test is applied to an r − 1 dimensioned sub-matrix. Therefore:

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