This paper discusses identification of systems of simultaneous cointegrating equations with integrated variables of order two. Rank and order conditions for identification are provided for general linear restrictions, as well as for equation-by-equation constraints. As expected, the application...

This paper discusses identification within a new parametrization for I(2) systems, where the integral and proportional control cointegrating relations are not necessarily orthogonal. The new parametrization, while equivalent to previously proposed ones, gives more flexibility in choosing the...