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Problems related to over-identifying restrictions for structural vector error correction models

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Author Info
Lütkepohl, Helmut

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Abstract

If cointegrated variables are involved in a structural VAR analysis, vector error correction models offer a convenient framework for imposing structural long-run and short-run restrictions. Problems related to over-identifying restrictions in these models and possible solutions are discussed.

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Publisher Info
Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 99 (2008)
Issue (Month): 3 (June)
Pages: 512-515
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Handle: RePEc:eee:ecolet:v:99:y:2008:i:3:p:512-515

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  1. Benkwitz, Alexander & Lütkepohl, Helmut & Wolters, Jürgen, 1999. "Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems," CEPR Discussion Papers 2208, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  2. repec:cup:macdyn:v:5:y:2001:i:1:p:81-100 is not listed on IDEAS
  3. Gonzalo, Jesus & Ng, Serena, 2001. "A systematic framework for analyzing the dynamic effects of permanent and transitory shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1527-1546, October. [Downloadable!] (restricted)
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This page was last updated on 2009-12-12.

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