Trenkler, Carsten and Weber, Enzo (2010) On the Identification of Codependent VAR and VEC Models. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 445, Working Paper.
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Abstract
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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Item type: | Monograph (Working Paper) | ||||
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Series of the University of Regensburg: | Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft | ||||
Date: | 15 September 2010 | ||||
Institutions: | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie | ||||
Interdisciplinary Subject Network: | Immobilien- und Kapitalmärkte | ||||
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Classification: |
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Keywords: | Codependence, identification, VAR, cointegration, serial correlation common features | ||||
Dewey Decimal Classification: | 300 Social sciences > 330 Economics | ||||
Status: | Published | ||||
Refereed: | No, this document will not be refereed | ||||
Created at the University of Regensburg: | Partially | ||||
Item ID: | 16477 |