Document Type

Article

Date

2-4-1998

Embargo Period

9-26-2012

Keywords

vector error correction model, conintegration, limited information maximum liklihood, counterfactual policy analysis

Disciplines

Economics

Description/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.

Additional Information

Currently at Syracuse University.

Source

local input

Creative Commons License


This work is licensed under a Creative Commons Attribution 3.0 License.

Included in

Economics Commons

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