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
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
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