TY - JOUR
T1 - Weak exogeneity and long-run and contemporaneous identifying restrictions in VEC models
AU - Fisher, Lance A.
AU - Huh, Hyeon Seung
N1 - Copyright:
Copyright 2020 Elsevier B.V., All rights reserved.
PY - 1999/5
Y1 - 1999/5
N2 - This paper shows that under the King et al. (1991) approach [KPSW, 1991. Stochastic trends and economic fluctuations. American Economic Review 81, 819-840] to structural identification in VEC models, the structural shocks with transitory effects do not have a contemporaneous impact on the weakly exogenous variables. This result is used to establish the conditions under which the KPSW and Sims (1980) identification schemes [Macroeconomics and Reality. Econometrica 48, 1-48] are equivalent in a model of US consumption, investment and private output.
AB - This paper shows that under the King et al. (1991) approach [KPSW, 1991. Stochastic trends and economic fluctuations. American Economic Review 81, 819-840] to structural identification in VEC models, the structural shocks with transitory effects do not have a contemporaneous impact on the weakly exogenous variables. This result is used to establish the conditions under which the KPSW and Sims (1980) identification schemes [Macroeconomics and Reality. Econometrica 48, 1-48] are equivalent in a model of US consumption, investment and private output.
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U2 - 10.1016/s0165-1765(99)00051-8
DO - 10.1016/s0165-1765(99)00051-8
M3 - Article
AN - SCOPUS:0033414364
VL - 63
SP - 159
EP - 165
JO - Economics Letters
JF - Economics Letters
SN - 0165-1765
IS - 2
ER -