Codependent VAR Models and the Pseudo-Structural Form

URN to cite this document:: urn:nbn:de:bvb:355-epub-247764
DOI to cite this document:: 10.5283/epub.24776

Trenkler, Carsten ; Weber, Enzo

Preview

PDF
(318kB)

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

Alternative links to fulltext:Repec

Details

Preview

Export bibliographical data

Abstract

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 ...