Submodel Estimation of a Structural Vector Error Correction Model

Publication Year:
1998
Usage 83
Downloads 70
Abstract Views 13
Repository URL:
https://surface.syr.edu/ecn/9
Author(s):
Horrace, William C
Tags:
vector error correction model; conintegration; limited information maximum liklihood; counterfactual policy analysis; Economics
article description
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.