Identification and overidentification in SVECMs

DOI10.1016/J.ECONLET.2010.06.001zbMATH Open1196.91047OpenAlexW2117751103MaRDI QIDQ709088FDOQ709088

Authors B. Lucke

Publication date 15 October 2010

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2010.06.001

zbMATH Keywords

identificationstructural vector error correction model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Recommendations

• Problems related to over-identifying restrictions for structural vector error correction models
• Weak exogeneity and long-run and contemporaneous identifying restrictions in VEC models
• Tests for overidentifying restrictions in factor-augmented VAR models
• An alternative approach to estimation of structural vector error correction models with long-run restrictions
• Some identification problems in the cointegrated vector autoregressive model

Cites work

• scientific article; zbMATH DE number 951459 (Why is no real title available?)
• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Problems related to over-identifying restrictions for structural vector error correction models
• Testing for Common Trends

Cited in

(1)

• Analysis of over-sampling based identification

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