Identification and overidentification in SVECMs

Bernd Lucke ()

Economics Letters, 2010, vol. 108, issue 3, 318-321

Abstract: Order criteria for identifying restrictions in SVECMs are derived. With K - r common trends, K - r columns of the long run matrix may have at most K - r - 1 zero restrictions each, while r columns may have arbitrarily many. For each shock, the number of restrictions must not exceed a certain upper bound.

Keywords: Structural; vector; error; correction; model; Identification (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:108:y:2010:i:3:p:318-321

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