Submodel estimation of a structural vector error correction model under cointegration

被引：0
|
作者：
Horrace, WC [1 ]
机构：
[1] Univ Arizona, Dept Econ, Tucson, AZ 85721 USA
来源：
ECONOMICS LETTERS | 1998年 / 59卷 / 01期
关键词：
vector error correction model; cointegration; limited information maximum likelihood; counterfactual policy analysis;
D O I：
10.1016/S0165-1765(98)00033-0
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. (C) 1998 Elsevier Science S.A.
引用
收藏
页码：23 / 29
页数：7
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