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 … testing are only possible if the codependence restrictions can be uniquely imposed. Applying the pseudo-structural form, our …

In this paper we discuss identification of codependent VAR and VEC models. Codependence of order q is given if a linear … and corresponding likelihood ratio testing are only possible if the codependence restrictions can be uniquely imposed … generating codependence of order q=1. …

extended to codependence, allowing for delayed adjustment. We show which restrictions are implied for VECMs and lay out a …

following a deviation. Allowing for delayed re-equilibration, we extend the framework to codependence. The restrictions derived … codependence orders and discuss identification. The concept is applied to US and European interest rate data, examining the …

, serial correlation common feature and codependence tests with nominal and real interest rates using quarterly data from 1975 … of interest rates are not cointegrated. Although some evidence for codependence of higher order is found among European …

, serial correlation common feature and codependence tests with nominal and real interest rates using quarterly data from 1975 … of interest rates are not cointegrated. Although some evidence for codependence of higher order is found among European …

, serial correlation common feature and codependence tests with nominal and real interest rates using quarterly data from 1975 … of interest rates are not cointegrated. Although some evidence for codependence of higher order is found among European …