Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/129529
Authors: 
Trenkler, Carsten
Weber, Enzo
Year of Publication: 
2012
Series/Report no.: 
Working Paper Series, Department of Economics, University of Mannheim 12-10
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.
Subjects: 
Codependence
VAR
cointegration
pseudo-structural form
serial correlation common features
JEL: 
C32
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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