Codependent VAR models and the pseudo-structural form
نویسندگان
چکیده
منابع مشابه
Codependent VAR Models and the Pseudo-Structural Form
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 variables eliminates the serial correlation after q lags. Importantly, maximum likelihood estimation and likelihood ratio testing are only possible if th...
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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 variables eliminates the serial correlation after q lags. Importantly, maximum likelihood estimation and likelihood ratio testing are only possible if th...
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ژورنال
عنوان ژورنال: AStA Advances in Statistical Analysis
سال: 2012
ISSN: 1863-8171,1863-818X
DOI: 10.1007/s10182-012-0204-7