Weak exogeneity and long-run and contemporaneous identifying restrictions in VEC models

DOI10.1016/S0165-1765(99)00051-8zbMath0947.91033OpenAlexW1969997332WikidataQ127646860 ScholiaQ127646860MaRDI QIDQ1292448

Lance A. Fisher, Hyeon-seung Huh

Publication date: 21 June 1999

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(99)00051-8

zbMATH Keywords

identificationtransitory shocksstructural VEC

Mathematics Subject Classification ID

Related Items (2)

Structural vector autoregressive analysis for cointegrated variables ⋮ Problems related to over-identifying restrictions for structural vector error correction models

Cites Work

• A note on the equivalence of long-run and short-run identifying restrictions in cointegrated systems
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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