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AStA Advances in Statistical Analysis

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

Codependent VAR models and the pseudo-structural form

  • Carsten Trenkler
  • Enzo Weber
Original Paper
  • 184 Downloads

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 

Notes

Acknowledgments

We are grateful to two anonymous referees, the editor, Kyusang Yu and participants of seminars at the Central Bank Norway, the Humboldt University Berlin, the Leibniz University Hannover, and the University of Mannheim for very helpful comments. Of course, all remaining errors are our own.

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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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