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Problems Related to Over-identifying Restrictions for Structural Vector Error Correction Models

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  • Helmut Luetkepohl

Abstract

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.

Suggested Citation

  • Helmut Luetkepohl, 2005. "Problems Related to Over-identifying Restrictions for Structural Vector Error Correction Models," Economics Working Papers ECO2005/15, European University Institute.
  • Handle: RePEc:eui:euiwps:eco2005/15
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    Cited by:

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    2. Lucke, Bernd, 2010. "Identification and overidentification in SVECMs," Economics Letters, Elsevier, vol. 108(3), pages 318-321, September.
    3. Sinyagin, Yury (Синягин, Юрий) & Sheburakov, Ilya (Шебураков, Илья), 2018. "Rationale and development of a model for increasing the efficiency and effectiveness of public civil servants on the basis of a person-centered approach to management [Обоснование И Разработка Моде," Working Papers 061819, Russian Presidential Academy of National Economy and Public Administration.

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    More about this item

    Keywords

    Cointegration; vector autoregressive process; vector error correction model; impulse responses;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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