Identification when data are nonstationary

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Identification when data are nonstationary

• p(p-1) just identifying restrictions on the
  short-run parameters (equations)
• r(r-1) just identifying restrictions on the
  long-run parameters (relations)

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Three different aspects
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Imposing restrictions on all cointegrating
relations
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Normalization
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How should we choose the normalization
coefficient?
What about causal statements?
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Example
Interpretation as the long-run reduced
form Exogeneity assumptions and the Phillips
triangular form model
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Just identitified cointegration relations
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