Reduced rank regression procedures in error correction models (ECM’s) permit consistent estimation of the cointegration space but do not provide consistent estimates of individual structural relations when the dimension of the cointegration space is greater than one. Indeed, individual structural cointegrating equations are unidentiﬁed without additional a priori restrictions, just as in the conventional simultaneous equations framework. The eﬀect of this lack of identiﬁcation is explored by considering the distributions and limit distributions of reduced rank regression estimates of unidentiﬁed components of the cointegrating matrix in a typical VAR formulation of the ECM. Some recommendations are made for empirical practice.
Phillips, Peter C.B., "Unidentified Components in Reduced Rank Regression Estimation of ECM's" (1991). Cowles Foundation Discussion Papers. 1246.