Codependent VAR models and the pseudo-structural form

Carsten Trenkler and Enzo Weber

AStA Advances in Statistical Analysis, 2013, vol. 97, issue 3, 287-295

Abstract: This paper investigates whether codependence restrictions can be uniquely imposed on VAR models via the so-called pseudo-structural form used in the literature. Codependence of order q is given if a linear combination of autocorrelated variables eliminates the serial correlation after q lags. Importantly, maximum likelihood estimation and likelihood ratio testing are only possible if the codependence restrictions can be uniquely imposed. Applying the pseudo-structural form, our study reveals that this is not generally the case, but that unique imposition is guaranteed in several important special cases. Copyright Springer-Verlag Berlin Heidelberg 2013

Keywords: Codependence; VAR; Pseudo-structural form; Serial correlation common features (search for similar items in EconPapers)
Date: 2013
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Working Paper: Codependent VAR Models and the Pseudo-Structural Form (2012)
Working Paper: Codependent VAR Models and the Pseudo-Structural Form (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:spr:alstar:v:97:y:2013:i:3:p:287-295

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DOI: 10.1007/s10182-012-0204-7

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