AStA Advances in Statistical Analysis

, Volume 97, Issue 3, pp 287–295 | Cite as

Codependent VAR models and the pseudo-structural form

Original Paper

Abstract

This paper investigates whether codependence restrictions can be uniquely imposed on VAR 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 pseudo-structural form, our study reveals that this is not generally the case, but that unique imposition is guaranteed in several important special cases.

Keywords

Codependence VAR Pseudo-structural form  Serial correlation common features 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2012

Authors and Affiliations

  1. 1.Department of EconomicsUniversity of MannheimMannheimGermany
  2. 2.Department of Economics and Econometrics University of RegensburgRegensburgGermany
  3. 3.Institute of Employment ResearchNurembergGermany

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