Conditional and structural error correction models

Neil R. Ericsson ()

No 487, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

Abstract: A "structural" error correction model (in Boswijk's sense) is a rep­resentation of a conditional error correction model that satisfies certain restrictions. This paper examines the conditions under which such a struc­tural error correction model exists and when the associated representation is of interest. To clarify the nature of such models, several analytical and empirical examples are considered, which violate those conditions. Structural error correction models are economically appealing, but their limitations imply that some care must be taken when applying them in practice.

Keywords: Econometric models; Vector autoregression (search for similar items in EconPapers)
Date: 1994
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Journal Article: Conditional and structural error correction models (1995)
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