Go to content
UR Home

On the Identification of Codependent VAR and VEC Models

Trenkler, Carsten and Weber, Enzo (2010) On the Identification of Codependent VAR and VEC Models. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 445, Working Paper.

Download (209kB)
Date of publication of this fulltext: 16 Sep 2010 07:55

at ReconPapers


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 ...


Export bibliographical data

Item type:Monograph (Working Paper)
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
Identification Number:
RePEc:bay:rdwiwi:16477RePEc Handle
C32Journal of Economics Literature Classification
Keywords:Codependence, identification, VAR, cointegration, serial correlation common features
Dewey Decimal Classification:300 Social sciences > 330 Economics
Refereed:No, this document will not be refereed
Created at the University of Regensburg:Partially
Item ID:16477
Owner only: item control page


Downloads per month over past year

  1. Homepage UR

University Library

Publication Server


Publishing: oa@ur.de

Dissertations: dissertationen@ur.de

Research data: daten@ur.de

Contact persons