Identification and overidentification in SVECMs
Order criteria for identifying restrictions in SVECMs are derived. With KÂ -Â r common trends, KÂ -Â r columns of the long run matrix may have at most KÂ -Â rÂ -Â 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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