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

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.

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Year of publication:	2008
Authors:	Lütkepohl, Helmut
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 99.2008, 3, p. 512-515
Publisher:	Elsevier

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

Persistent link: https://www.econbiz.de/10005355326