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Normalisation dans des systèmes de séries chronologiques co‐intégrées .
Author(s) -
Rossana Robert J.
Publication year - 2009
Publication title -
canadian journal of economics/revue canadienne d'économique
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.773
H-Index - 69
eISSN - 1540-5982
pISSN - 0008-4085
DOI - 10.1111/j.1540-5982.2009.01557.x
Subject(s) - cointegration , normalization (sociology) , econometrics , series (stratigraphy) , matrix (chemical analysis) , mathematics , identity matrix , eigenvalues and eigenvectors , paleontology , materials science , physics , quantum mechanics , sociology , anthropology , composite material , biology
A method for normalizing cointegrating vectors is proposed for cointegrated time series systems containing multiple cointegrating vectors, a method requiring that an identity matrix appear in the normalized cointegrating matrix with unit coefficients attached to the endogenous or choice variables. The preferred method causes the normalized cointegrating matrix and the adjustment matrix to be consistent with the implications of static and dynamic economic theory. Alternative normalizations generate cointegrating and adjustment matrices that do not match up well with economic theory and do not reveal the testable restrictions implied by static economic theory.