Binotti, Annetta Maria; Ghiani, Enrico - Dipartimento di Economia e Management, Università … - 2004
This paper explores the issues arising when the reduced form cointegrating vectors are obtained from an incomplete VAR with omitted endogenous variables. Reconsidering some Wickens' (1996) results, we show that the specification of an incomplete VAR model, based on variables of the reduced form...