Abstract
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.
| Original language | English |
|---|---|
| Pages (from-to) | 159-165 |
| Number of pages | 7 |
| Journal | Economics Letters |
| Volume | 63 |
| Issue number | 2 |
| Publication status | Published - 1999 May 1 |
Fingerprint
All Science Journal Classification (ASJC) codes
- Finance
- Economics and Econometrics
Cite this
}
Weak exogeneity and long-run and contemporaneous identifying restrictions in VEC models. / Fisher, Lance A.; Huh, Hyeon-Seung.
In: Economics Letters, Vol. 63, No. 2, 01.05.1999, p. 159-165.Research output: Contribution to journal › Article
TY - JOUR
T1 - Weak exogeneity and long-run and contemporaneous identifying restrictions in VEC models
AU - Fisher, Lance A.
AU - Huh, Hyeon-Seung
PY - 1999/5/1
Y1 - 1999/5/1
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.
UR - http://www.scopus.com/inward/record.url?scp=0033414364&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=0033414364&partnerID=8YFLogxK
M3 - Article
AN - SCOPUS:0033414364
VL - 63
SP - 159
EP - 165
JO - Economics Letters
JF - Economics Letters
SN - 0165-1765
IS - 2
ER -