On the Identification of Codependent VAR and VEC Models

Carsten Trenkler and Enzo Weber

No 445, University of Regensburg Working Papers in Business, Economics and Management Information Systems from University of Regensburg, Department of Economics

Abstract: In this paper we discuss identification of codependent VAR and VEC models. Codependence of order q is given if a linear combination of autocorrelated variables eliminates the serial correlation after q lags. Importantly, maximum likelihood estimation and corresponding likelihood ratio testing are only possible if the codependence restrictions can be uniquely imposed. However, our study reveals that codependent VAR and VEC models are not generally identified. Nevertheless, we show that one can guarantee identification in case of serial correlation common features, i.e. when q=0, and for a single vector generating codependence of order q=1.

Keywords: Codependence; identification; VAR; cointegration; serial correlation common features (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2010-09-15
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:bay:rdwiwi:16477

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