In this paper we have demonstrated the implications of incorrectly normalising the parameters of a reduced rank regression model to achieve global identification, and presented a method for estimating this model without using the ordering restrictions imposed in previous Bayesian and frequentist...

The analysis of economic time series assumes specific economic behaviour of a representative agent. The data used in analysis is generated by aggregating observations of all individuals in a population. This is valid only if all members of a population have the same data generating process, but...

This paper considers the analysis of cointegrated time series using principal components methods. These methods have the advantage of neither requiring the normalisation imposed by the triangular eror correction model, nor the specification of a finite order vector autoregression.

We present an empirical analysis of a long run Purchasing Power Parity (PPP) for thirteen Asian-Pacific countries using cointegration techniques.

This paper compares and generalizes some testing procedures for structural change in the context of cointegrated regression models.