Structural VAR Estimation with Exogeneity Restrictions

Francisco C Dias, José António Machado and Maximiano Pinheiro

Oxford Bulletin of Economics and Statistics, 1996, vol. 58, issue 2, 417-22

Abstract: Exogenous variables arise quite naturally in macroeconomic models of small open economies. In these models, overidentification is also a common feature. In the presence of exogeneity restrictions and overidentification, the usual two-steps approach to the estimation of structural vector autoregressions is not equivalent to maximum likelihood. The authors propose a simple modification of that usual approach which produces maximum likelihood estimators. Copyright 1996 by Blackwell Publishing Ltd

Date: 1996
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