On the Identification of Codependent VAR and VEC Models
In this paper we discuss identification of codependent VAR and VEC models. Codependence of order q is given if a linear combination of autocorrelated variables eliminates the serial correlation after q lags. Importantly, maximum likelihood estimation and corresponding likelihood ratio testing are only possible if the codependence restrictions can be uniquely imposed. However, our study reveals that codependent VAR and VEC models are not generally identified. Nevertheless, we show that one can guarantee identification in case of serial correlation common features, i.e. when q=0, and for a single vector generating codependence of order q=1.
|Date of creation:||15 Sep 2010|
|Date of revision:|
|Contact details of provider:|| Postal: Universitäts-Str. 31, D-93040 Regensburg|
Phone: +49 941 943-2392
Fax: +49 941 943-4752
Web page: http://www-wiwi.uni-regensburg.de/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:bay:rdwiwi:16477. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Gernot Deinzer)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.