Structural VAR Estimation with Exogeneity Restrictions
针对小型开放经济模型中常见的外生性限制和过度识别问题，提出对传统两步估计法的简单修改，使其等价于最大似然估计。
ABSTRACT 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.