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Codependent VAR Models and the Pseudo-Structural Form

URN to cite this document:
urn:nbn:de:bvb:355-epub-247764
Trenkler, Carsten ; Weber, Enzo
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Date of publication of this fulltext: 12 Jun 2012 13:15


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 ...

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