vector error correction model, conintegration, limited information maximum liklihood, counterfactual policy analysis
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.
Horrace, William C., "Submodel Estimation of a Structural Vector Error Correction Model" (1998). Economics - Faculty Scholarship. 9.
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