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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. 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.
  2. Helmut Luetkepohl, 2005. "Problems Related to Over-identifying Restrictions for Structural Vector Error Correction Models," Economics Working Papers ECO2005/15, European University Institute.
  3. Robert G. King & Charles I. Plosser & James H. Stock & Mark W. Watson, 1991. "Stochastic trends and economic fluctuations," Working Paper Series, Macroeconomic Issues 91-4, Federal Reserve Bank of Chicago.
  4. 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.
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Cited by:
  1. 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.

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