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- URN zum Zitieren dieses Dokuments:
- urn:nbn:de:bvb:355-epub-164772
- DOI zum Zitieren dieses Dokuments:
- 10.5283/epub.16477
Zusammenfassung
In this paper we discuss identification of codependent VAR and VEC models. 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 corresponding likelihood ratio testing are only possible if the codependence restrictions can be uniquely imposed. However, our study reveals ...
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