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

DOI10.1016/S0165-1765(99)00051-8MaRDI QIDQ1292448zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

identificationstructural VECtransitory shocks

Mathematics Subject Classification ID

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Cites work

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

Cited in

(6)

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

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