SUBMODEL ESTIMATION OF A STRUCTURAL VECTOR ERROR-CORRECTION MODEL UNDER COINTEGRATION

Authors
HORRACE WC
Citation
Wc. Horrace, SUBMODEL ESTIMATION OF A STRUCTURAL VECTOR ERROR-CORRECTION MODEL UNDER COINTEGRATION, Economics letters, 59(1), 1998, pp. 23-29
Citations number
13
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
59
Issue
1
Year of publication
1998
Pages
23 - 29
Database
ISI
SICI code
0165-1765(1998)59:1<23:SEOASV>2.0.ZU;2-U
Abstract
In this paper we derive the concentrated likelihood function of a mutu ally independent subsystem (submodel) of equations from a p-dimensiona l vector error component model under cointegration. The structural est imates of the subsystem parameters are identified by exclusion restric tions. The maximum likelihood estimates may be useful for counterfactu al policy analysis. (C) 1998 Elsevier Science S.A.