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Identification and overidentification in SVECMs

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  • Lucke, Bernd

Abstract

Order criteria for identifying restrictions in SVECMs are derived. With K - r common trends, K - r columns of the long run matrix may have at most K - r - 1 zero restrictions each, while r columns may have arbitrarily many. For each shock, the number of restrictions must not exceed a certain upper bound.

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File URL: http://www.sciencedirect.com/science/article/B6V84-50B5PFR-1/2/173050de4b9e0d371e3ea479542aa243
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 108 (2010)
Issue (Month): 3 (September)
Pages: 318-321

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Handle: RePEc:eee:ecolet:v:108:y:2010:i:3:p:318-321

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Web page: http://www.elsevier.com/locate/ecolet

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Keywords: Structural vector error correction model Identification;

References

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  1. Lütkepohl, Helmut, 2008. "Problems related to over-identifying restrictions for structural vector error correction models," Economics Letters, Elsevier, vol. 99(3), pages 512-515, June.
  2. King, Robert G. & Plosser, Charles I. & Stock, James H. & Watson, Mark W., 1991. "Stochastic Trends and Economic Fluctuations," American Economic Review, American Economic Association, vol. 81(4), pages 819-40, September.
  3. Paul Beaudry & Bernd Lucke, 2010. "Letting Different Views about Business Cycles Compete," NBER Chapters, in: NBER Macroeconomics Annual 2009, Volume 24, pages 413-455 National Bureau of Economic Research, Inc.
  4. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
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Cited by:
  1. Paul Beaudry & Franck Portier, 2013. "News Driven Business Cycles: Insights and Challenges," NBER Working Papers 19411, National Bureau of Economic Research, Inc.
  2. Paul Beaudry & Bernd Lucke, 2009. "Letting Different Views about Business Cycles Compete," NBER Working Papers 14950, National Bureau of Economic Research, Inc.

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