TY - JOUR
T1 - Structural identification of permanent shocks in VEC models
T2 - A generalization
AU - Fisher, Lance A.
AU - Huh, Hyeon Seung
AU - Summers, Peter M.
PY - 2000
Y1 - 2000
N2 - An econometric procedure to identify the permanent shocks in vector error correction models is proposed, which allows one to combine long-run and contemporaneous restrictions. This procedure is applied to the six-variable model of King, Plosser, Stock and Watson (1991) with a view to providing an alternative interpretation to their results based on a different identification scheme. We argue that a real spending shock in the place of the real interest rate shock appears to better accommodate their empirical findings.
AB - An econometric procedure to identify the permanent shocks in vector error correction models is proposed, which allows one to combine long-run and contemporaneous restrictions. This procedure is applied to the six-variable model of King, Plosser, Stock and Watson (1991) with a view to providing an alternative interpretation to their results based on a different identification scheme. We argue that a real spending shock in the place of the real interest rate shock appears to better accommodate their empirical findings.
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U2 - 10.1016/S0164-0704(00)00122-1
DO - 10.1016/S0164-0704(00)00122-1
M3 - Article
AN - SCOPUS:0039622524
SN - 0164-0704
VL - 22
SP - 53
EP - 68
JO - Journal of Macroeconomics
JF - Journal of Macroeconomics
IS - 1
ER -