Problems Related to Over-identifying Restrictions for Structural Vector Error Correction Models

Helmut Luetkepohl
Authors registered in the RePEc Author Service: Helmut Lütkepohl

No ECO2005/15, Economics Working Papers from European University Institute

Abstract: Structural vector autoregressive (VAR) models are in frequent use for impulse response analysis. If cointegrated variables are involved, the corresponding vector error correction models offer a convenient framework for imposing structural long-run and short-run restrictions. Occasionally it is desirable to impose over-identifying restrictions in this context. Some related problems are pointed out. They result from the fact that the over-identifying restrictions have to be in the admissible parameter space which is not always obvious. Conditions are given that can help in avoiding the problems.

Keywords: Cointegration; vector autoregressive process; vector error correction model; impulse responses (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2005
New Economics Papers: this item is included in nep-bec and nep-com
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Problems related to over-identifying restrictions for structural vector error correction models (2008)
Chapter: Vector Error Correction Models (2005)
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