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 |
| DOIs | |
| Publication status | Published - 1999 May |
All Science Journal Classification (ASJC) codes
- Finance
- Economics and Econometrics
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Fisher, L. A., & Huh, H. S. (1999). Weak exogeneity and long-run and contemporaneous identifying restrictions in VEC models. Economics Letters, 63(2), 159-165. https://doi.org/10.1016/s0165-1765(99)00051-8