Problems related to over-identifying restrictions for structural vector error correction models

DOI10.1016/J.ECONLET.2007.09.034zbMATH Open1255.91364OpenAlexW2167985143MaRDI QIDQ1934809FDOQ1934809

Authors: Helmut Lütkepohl 

Publication date: 29 January 2013

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2007.09.034

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zbMATH Keywords

impulse responsescointegrationvector autoregressive processvector error correction model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Cites Work

• Title not available (Why is that?)
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Weak exogeneity and long-run and contemporaneous identifying restrictions in VEC models
• ON THE ASYMPTOTIC DISTRIBUTION OF IMPULSE RESPONSE FUNCTIONS WITH LONG-RUN RESTRICTIONS

Cited In (4)

• Identification and overidentification in SVECMs
• Structural vector autoregressive analysis for cointegrated variables
• Normalising cointegrating relationships subject to long-run exclusion
• An alternative approach to estimation of structural vector error correction models with long-run restrictions

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