Weak exogeneity and long-run and contemporaneous identifying restrictions in VEC models

DOI10.1016/S0165-1765(99)00051-8zbMATH Open0947.91033OpenAlexW1969997332WikidataQ127646860 ScholiaQ127646860MaRDI QIDQ1292448FDOQ1292448

Authors: Lance A. Fisher, H. Huh 

Publication date: 21 June 1999

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(99)00051-8

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zbMATH Keywords

identificationstructural VECtransitory shocks

Mathematics Subject Classification ID

Cites Work

• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• A note on the equivalence of long-run and short-run identifying restrictions in cointegrated systems

Cited In (6)

• Identification and overidentification in SVECMs
• Long- versus medium-run identification in fractionally integrated VAR models
• Structural vector autoregressive analysis for cointegrated variables
• Problems related to over-identifying restrictions for structural vector error correction models
• On weak identification in structural VARMA models
• Permanent-transitory decompositions under weak exogeneity

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