Structural identification of permanent shocks in VEC models: A generalization

Lance A. Fisher, Hyeon Seung Huh, Peter M. Summers

Research output: Contribution to journalArticle

11 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)53-68
Number of pages16
JournalJournal of Macroeconomics
Volume22
Issue number1
DOIs
Publication statusPublished - 2000

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

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