This paper adopts a two-step technique to estimate structural vector
error correction models and provides the asymptotic distribution of the
impulse response functions of such a system. The method combines two
popular tools in econometrics, namely, vector autoregressive
cointegration analysis in the first step and structural vector
autoregression analysis in the second. The proposed structural model
structure is very general in the sense that all just-identifying or
overidentifying schemes that can be expressed as linear restrictions on
either the contemporaneous or long-run impact of the structural shocks
are allowed for. The long-run restrictions complicate the derivation of
the asymptotic distribution of the structural parameter estimates as
these restrictions are a function of the reduced form parameters.
Consequently, the asymptotic distribution involves an extra partial
derivative.Useful comments by Peter Boswijk,
Günter Coenen, Neil Ericsson, Sören Johansen, Klaus Neusser,
Franz Palm, Paolo Paruolo, Peter van Els, Anders Warne, and ESEM 1998
participants are gratefully acknowledged. The paper also significantly
benefited from suggestions by the co-editor Pentti Saikkonen and two
anonymous referees.