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

Economics Letters

Volumn 99, Issue 3, 2008, Pages 512-515

  Lütkepohl, Helmut ^a  

^a EUROPEAN UNIVERSITY INSTITUTE   (Italy)

Author keywords

Cointegration; Impulse responses; Vector autoregressive process; Vector error correction model

Indexed keywords

EID: 43849105388     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2007.09.034     Document Type: Article

References (5)

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2. Johansen S. Likelihood-based Inference in Cointegrated Vector Autoregressive Models (1995), Oxford University Press, Oxford
3. King R.G., Plosser C.I., Stock J.H., and Watson M.W. Stochastic trends and economic fluctuations. American Economic Review 81 (1991) 819-840
4. Lütkepohl H. New Introduction to Multiple Time Series Analysis (2005), Springer-Verlag, Berlin
5. Vlaar P.J.G. On the asymptotic distribution of impulse response functions with long-run restrictions. Econometric Theory 20 (2004) 891-903