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Problems related to over-identifying restrictions for structural vector error correction models

Helmut Lütkepohl ()

Economics Letters, 2008, vol. 99, issue 3, 512-515

Abstract: If cointegrated variables are involved in a structural VAR analysis, vector error correction models offer a convenient framework for imposing structural long-run and short-run restrictions. Problems related to over-identifying restrictions in these models and possible solutions are discussed.

Date: 2008
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Working Paper: Problems Related to Over-identifying Restrictions for Structural Vector Error Correction Models (2005) Downloads
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