Beschreibung

"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))