| PDF (209kB) |
- URN to cite this document:
- urn:nbn:de:bvb:355-epub-164772
- DOI to cite this document:
- 10.5283/epub.16477
Alternative links to fulltext:Repec
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 ...

Owner only: item control page