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- Thu Oct 30, 2008 10:18 am
- Forum: CATS Questions
- Topic: SVECM
- Replies: 11
- Views: 27727
SVECM
Can I put short-run restrictions on contemporaneous impacts of endogenous variables (similar to Bernanke-Sims) on an estimated VECM to uncover the structural shocks. Steps i want to follow is> Johansen cointegration to determine rank of cointegration> put long-run restrictions to uncover cointegrati...