Submodel estimation of a structural vector error correction model under cointegration

Research output: Contribution to journalArticle

Abstract

In this paper we derive the concentrated likelihood function of a mutually independent subsystem (submodel) of equations from a p-dimensional vector error component model under cointegration. The structural estimates of the subsystem parameters are identified by exclusion restrictions. The maximum likelihood estimates may be useful for counterfactual policy analysis.

Original languageEnglish (US)
Pages (from-to)23-29
Number of pages7
JournalEconomics Letters
Volume59
Issue number1
DOIs
StatePublished - Apr 1 1998
Externally publishedYes

Keywords

  • C32
  • Cointegration
  • Counterfactual policy analysis
  • Limited information maximum likelihood
  • Vector error correction model

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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