Weak exogeneity and long-run and contemporaneous identifying restrictions in VEC models

Lance A. Fisher, Hyeon Seung Huh

Research output: Contribution to journalArticle

11 Citations (Scopus)

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 languageEnglish
Pages (from-to)159-165
Number of pages7
JournalEconomics Letters
Volume63
Issue number2
DOIs
Publication statusPublished - 1999 May

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

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