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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.

Suggested Citation

  • Lucke, Bernd, 2010. "Identification and overidentification in SVECMs," Economics Letters, Elsevier, vol. 108(3), pages 318-321, September.
    • Handle: RePEc:eee:ecolet:v:108:y:2010:i:3:p:318-321
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    References listed on IDEAS

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    1. Bénédicte Vidaillet & V. d'Estaintot & P. Abécassis, 2005. "Introduction," Post-Print hal-00287137, HAL.
    2. Robert Engle & Clive Granger, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
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    4. Lütkepohl,Helmut & Krätzig,Markus (ed.), 2004. "Applied Time Series Econometrics," Cambridge Books, Cambridge University Press, number 9780521839198, November.
    5. 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.
    6. Lütkepohl,Helmut & Krätzig,Markus (ed.), 2004. "Applied Time Series Econometrics," Cambridge Books, Cambridge University Press, number 9780521547871, November.
    7. 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.
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    Cited by:

    1. Paul Beaudry & Franck Portier, 2014. "News-Driven Business Cycles: Insights and Challenges," Journal of Economic Literature, American Economic Association, vol. 52(4), pages 993-1074, December.
    2. 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.
    3. Kiohos, Apostolos & Stoupos, Nikolaos, 2025. "Monetary alignment or divergence? - Exchange rates and economic dynamics in non-euro European countries," The Journal of Economic Asymmetries, Elsevier, vol. 32(C).
    4. repec:rnp:ppaper:mak8 is not listed on IDEAS
    5. Bahal, Girish & Raissi, Mehdi & Tulin, Volodymyr, 2018. "Crowding-out or crowding-in? Public and private investment in India," World Development, Elsevier, vol. 109(C), pages 323-333.

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