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Codependent VAR Models and the Pseudo-Structural Form

Trenkler, Carsten and Weber, Enzo (2012) Codependent VAR Models and the Pseudo-Structural Form. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 465, Working Paper.

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Date of publication of this fulltext: 12 Jun 2012 13:15

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This paper investigates whether codependence restrictions can be uniquely imposed on VAR and VEC models via the so-called pseudo-structural form used in the literature. 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 likelihood ratio testing are only possible if the ...


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Item type:Monograph (Working Paper)
Series of the University of Regensburg:Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft
Date:11 June 2012
Institutions:Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie
Identification Number:
RePEc:bay:rdwiwi:24776RePEc Handle
C32Journal of Economics Literature Classification
Keywords:Codependence, VAR, cointegration, pseudo-structural form, 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:24776
Owner only: item control page


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