Identification and overidentification in SVECMs

Order criteria for identifying restrictions in SVECMs are derived. With KÂ -Â r common trends, KÂ -Â r columns of the long run matrix may have at most KÂ -Â rÂ -Â 1 zero restrictions each, while r columns may have arbitrarily many. For each shock, the number of restrictions must not exceed a certain upper bound.

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Year of publication:	2010
Authors:	Lucke, Bernd
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 108.2010, 3, p. 318-321
Publisher:	Elsevier
Keywords:	Structural vector error correction model Identification

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008866882