Problems related to over-identifying restrictions for structural vector error correction models
Helmut Lütkepohl ()
Economics Letters, 2008, vol. 99, issue 3, 512-515
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.
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Working Paper: Problems Related to Over-identifying Restrictions for Structural Vector Error Correction Models (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:99:y:2008:i:3:p:512-515
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