Trenkler, Carsten and Weber, Enzo (2013) Codependent VAR models and the pseudo-structural form. ASTA-ADVANCES IN STATISTICAL ANALYSIS, 97 (3). pp. 287-295. ISSN 1863-8171,
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This paper investigates whether codependence restrictions can be uniquely imposed on VAR models via the so-called pseudo-structural form used in the literature. 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 likelihood ratio testing are only possible if the codependence restrictions can be uniquely imposed. Applying the pseudo-structural form, our study reveals that this is not generally the case, but that unique imposition is guaranteed in several important special cases.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | FEATURES; CYCLES; Codependence; VAR; Pseudo-structural form; Serial correlation common features |
| Subjects: | 300 Social sciences > 340 Law |
| Divisions: | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Empirische Wirtschaftsforschung, insbesondere Makroökonomie und Arbeitsmarkt (Prof. Dr. Enzo Weber) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 07 Apr 2020 08:06 |
| Last Modified: | 07 Apr 2020 08:06 |
| URI: | https://pred.uni-regensburg.de/id/eprint/16433 |
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