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Selected Works of William C Horrace
Article
Submodel Estimation of a Structural Vector Error Correction Model
Economics - All Scholarship
  • William C Horrace, University of Arizona
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Document Type
Article
Date
2-4-1998
Keywords
  • vector error correction model,
  • conintegration,
  • limited information maximum liklihood,
  • counterfactual policy analysis
Disciplines
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
Creative Commons Attribution 3.0
Citation Information
William C Horrace. "Submodel Estimation of a Structural Vector Error Correction Model" (1998)
Available at: http://works.bepress.com/horrace/11/