Structural VAR Estimation with Exogeneity Restrictions |
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Authors: | Francisco C. Dias,Jos A. F. Machado,Maximiano R. Pinheiro |
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Affiliation: | Francisco C. Dias,José A. F. Machado,Maximiano R. Pinheiro |
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Abstract: | ABSTRACT Exogenous variables arise quite naturally in macroeconomic models of small open economies. In these models overidentification is also a common feature. In the presence of exogeneity restrictions and overidentification the usual two-steps approach to the estimation of structural VAR's is not equivalent to Maximum Likelihood (ML). We propose a simple modification of that usual approach which produces ML estimators. |
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