On the Identification of Codependent VAR and VEC Models

URN to cite this document:: urn:nbn:de:bvb:355-epub-164772
DOI to cite this document:: 10.5283/epub.16477

Trenkler, Carsten ; Weber, Enzo

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Date of publication of this fulltext: 16 Sep 2010 07:55

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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 ...