Codependent VAR Models and the Pseudo-Structural Form

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URL:	https://ub-madoc.bib.uni-mannheim.de/31690
URN:	urn:nbn:de:bsz:180-madoc-316904
Dokumenttyp:	Arbeitspapier
Erscheinungsjahr:	2012
Titel einer Zeitschrift oder einer Reihe:	Working Paper Series
Band/Volume:	12-10
Ort der Veröffentlichung:	Mannheim
Sprache der Veröffentlichung:	Englisch
Einrichtung:	Fakultät für Rechtswissenschaft und Volkswirtschaftslehre > Zeitreihenökonometrie (Trenkler 2007-)
MADOC-Schriftenreihe:	Department of Economics > Working Paper Series
Fachgebiet:	330 Wirtschaft
Fachklassifikation:	JEL: C32,
Freie Schlagwörter (Englisch):	Codependence , VAR , cointegration , pseudo-structural form , serial correlation common features
Abstract:	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 the codependence restrictions can be uniquely imposed. Applying the pseudostructural form, our study reveals that this is not generally the case, but that unique imposition is guaranteed in several important special cases. Moreover, we discuss further issues, in particular upper bounds for the codependence order.