Go to content
UR Home

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.

[img]
Preview
PDF
Download (318kB)
Date of publication of this fulltext: 12 Jun 2012 13:15

at ReconPapers


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 ...

plus


Export bibliographical data



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:
ValueType
RePEc:bay:rdwiwi:24776RePEc Handle
Classification:
NotationType
C32Journal of Economics Literature Classification
Keywords:Codependence, VAR, cointegration, pseudo-structural form, 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:24776
Owner only: item control page

Downloads

Downloads per month over past year

  1. Homepage UR

University Library

Publication Server

Contact:

Publishing: oa@ur.de

Dissertations: dissertationen@ur.de

Research data: daten@ur.de

Contact persons