Exogenous variables arise quite naturally in macroeconomic models of small open economies. In these models overidentification is also a common feature. In the presence of exogeneity restrictions and overidentification the usual two-steps approach to the estimation of structural VAR's is not equivalent to Maximum Likelihood (ML). We propose a simple modification of that usual approach which produces ML estimators.
|Number of pages||3|
|Journal||Oxford Bulletin of Economics and Statistics|
|Publication status||Published - 1 May 1996|