2012
DOI: 10.1007/s10182-012-0204-7
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Codependent VAR models and the pseudo-structural form

Abstract: This paper investigates whether codependence restrictions can be uniquely imposed on VAR and VEC 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 pseudostructural form, our study reveals that this i… Show more

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