Document Type
Article
Date
2-4-1998
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.
Recommended Citation
Horrace, William C., "Submodel Estimation of a Structural Vector Error Correction Model" (1998). Economics - All Scholarship. 9.
https://surface.syr.edu/ecn/9
Source
local input
Creative Commons License
This work is licensed under a Creative Commons Attribution 3.0 License.
Additional Information
Currently at Syracuse University.