Codependent VAR Models and the Pseudo-Structural Form
Carsten Trenkler () and
No 465, University of Regensburg Working Papers in Business, Economics and Management Information Systems from University of Regensburg, Department of Economics
This paper investigates whether codependence restrictions can be uniquely imposed on VAR and VEC 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. Moreover, we discuss further issues, in particular upper bounds of the codependence order.
Keywords: Codependence; VAR; cointegration; pseudo-structural form; serial correlation common features (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
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Journal Article: Codependent VAR models and the pseudo-structural form (2013)
Working Paper: Codependent VAR Models and the Pseudo-Structural Form (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:bay:rdwiwi:24776
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