Structural Vector Autoregressive Analysis for Cointegrated Variables

Helmut Lütkepohl

Chapter 6 in Modern Econometric Analysis, 2006, pp 73-86 from Springer

Abstract: Abstract Vector autoregressive (VAR) models are capable of capturing the dynamic structure of many time series variables. Impulse response functions are typically used to investigate the relationships between the variables included in such models. In this context the relevant impulses or innovations or shocks to be traced out in an impulse response analysis have to be specified by imposing appropriate identifying restrictions. Taking into account the cointegration structure of the variables offers interesting possibilities for imposing identifying restrictions. Therefore VAR models which explicitly take into account the cointegration structure of the variables, so-called vector error correction models, are considered. Specification, estimation and validation of reduced form vector error correction models is briefly outlined and imposing structural short- and long-run restrictions within these models is discussed.

Keywords: Impulse Response; Structural Innovation; Vector Error Correction Model; Stochastic Trend; Forecast Error Variance (search for similar items in EconPapers)
Date: 2006
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Journal Article: Structural vector autoregressive analysis for cointegrated variables (2006)
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DOI: 10.1007/3-540-32693-6_6

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