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Inhaltsbereich: Institut für Arbeitsmarkt- und Berufsforschung

Codependent VAR models and the pseudo-structural form

Abstract

"This paper investigates whether co-dependence restrictions can be uniquely imposed on VAR models via the so-called pseudo-structural form used in the literature. Co-dependence 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 the co-dependence restrictions can be uniquely imposed. Applying the pseudo-structural form, our study reveals that this is not generally the case, but that unique imposition is guaranteed in several important special cases." (Author's abstract, IAB-Doku) ((en))

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Bibliografische Daten

Trenkler, Carsten; Weber, Enzo (2013): Codependent VAR models and the pseudo-structural form. In: Advances in Statistical Analysis, Vol. 97, No. 3, S. 287-295.
 

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