Identification and overidentification in SVECMs

Identification and overidentification in SVECMs

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

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Veröffentlicht in:Economics letters 2010-09, Vol.108 (3), p.318-321
1. Verfasser: Lucke, Bernd
Format: Artikel
Sprache:eng
Schlagworte:
Error correction models
Identification
Model testing
Structural analysis
Structural vector error correction model
Structural vector error correction model Identification
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Zusammenfassung:Order criteria for identifying restrictions in SVECMs are derived. With K − r common trends, K − r columns of the long run matrix may have at most K − r − 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.
ISSN:0165-1765
1873-7374
DOI:10.1016/j.econlet.2010.06.001