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This paper investigates whether codependence restrictions can be uniquely imposed on VAR and VEC 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...
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some recently developed bootstrap implementations of the co-integration rank tests of Johansen (1996). In order to do so we … significantly improve upon the small sample performance of the bootstrap co-integration rank tests. A brief application of the …
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