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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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-variance cointegration we actually find cointegration relations between spreads and premia in US data. …
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bivariate cointegration between domestic and foreign interest rates. We explain non-stationarity of the interest differential … stochastic trend into the system. Trivariate cointegration between the interest rates and the exchange rate accounts for the …
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