Structural vector autoregressive (VAR) models are in frequent use for impulse response analysis. If cointegrated variables are involved, the corresponding vector error correction models offer a convenient framework for imposing structural long-run and short-run restrictions. Occasionally it is desirable to impose over-identifying restrictions in this context. Some related problems are pointed out. They result from the fact that the over-identifying restrictions have to be in the admissible parameter space which is not always obvious. Conditions are given that can help in avoiding the problems.
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Paper provided by European University Institute in its series Economics Working Papers with number
ECO2005/15.
Length: Date of creation: 2005 Date of revision: Handle: RePEc:eui:euiwps:eco2005/15
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