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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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    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.
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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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