Codependent VAR Models and the Pseudo-Structural Form

Carsten Trenkler and Enzo Weber

No 12-10, Working Papers from University of Mannheim, Department of Economics

Abstract: 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 pseudostructural 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 for 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)
Date: 2012
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Citations: View citations in EconPapers (3)

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Related works:
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:mnh:wpaper:31690

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