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- URN zum Zitieren dieses Dokuments:
- urn:nbn:de:bvb:355-epub-247764
- DOI zum Zitieren dieses Dokuments:
- 10.5283/epub.24776
Alternative Links zum Volltext:Repec
Zusammenfassung
This paper investigates whether codependence restrictions can be uniquely imposed on VAR and VEC models via the so-called pseudo-structural form used in the literature. Codependence of order q is given if a linear combination of autocorrelated variables eliminates the serial correlation after q lags. Importantly, maximum likelihood estimation and likelihood ratio testing are only possible if the ...
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