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

DOI10.1016/J.ECONLET.2007.09.034MaRDI QIDQ1934809zbMATH OpenOpenAlexFDO

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

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)

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• Structural vector autoregressive analysis for cointegrated variables
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Cites work

• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• ON THE ASYMPTOTIC DISTRIBUTION OF IMPULSE RESPONSE FUNCTIONS WITH LONG-RUN RESTRICTIONS
• Weak exogeneity and long-run and contemporaneous identifying restrictions in VEC models

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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