Trenkler, Carsten; Weber, Enzo - In: AStA Advances in Statistical Analysis 97 (2013) 3, pp. 287-295
This paper investigates whether codependence restrictions can be uniquely imposed on VAR models via the so-called pseudo-structural form used in the literature. Codependence of order q is given if a linear combination of autocorrelated variables eliminates the serial correlation after q lags....