Vahid, Farshid; Issler, João Victor - FGV/EPGE Escola Brasileira de Economia e Finanças, … - 1994
Reduced form estimation of multivariate data sets currently takes into account long-run co-movement restrictions by using Vector Error Correction Models (VECM' s). However, short-run co-movement restrictions are completely ignored. This paper proposes a way of taking into account short-and...