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Problems related to over-identifying restrictions for structural vector error correction models

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  • Lütkepohl, Helmut

Abstract

If cointegrated variables are involved in a structural VAR analysis, vector error correction models offer a convenient framework for imposing structural long-run and short-run restrictions. Problems related to over-identifying restrictions in these models and possible solutions are discussed.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:ecolet:v:99:y:2008:i:3:p:512-515
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    6. Vlaar, Peter J.G., 2004. "On The Asymptotic Distribution Of Impulse Response Functions With Long-Run Restrictions," Econometric Theory, Cambridge University Press, vol. 20(5), pages 891-903, October.
    7. Fisher, Lance A. & Huh, Hyeon-seung, 1999. "Weak exogeneity and long-run and contemporaneous identifying restrictions in VEC models," Economics Letters, Elsevier, vol. 63(2), pages 159-165, May.
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    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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