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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.

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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 ...

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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:
ValueType
RePEc:bay:rdwiwi:16477RePEc Handle
Classification:
NotationType
C32Journal of Economics Literature Classification
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
Owner only: item control page

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