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

Lance A. Fisher; Hyeon Seung Huh

doi:10.1016/s0165-1765(99)00051-8

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

Lance A. Fisher, Hyeon Seung Huh

Department of Economics

Research output: Contribution to journal › Article › peer-review

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 language	English
Pages (from-to)	159-165
Number of pages	7
Journal	Economics Letters
Volume	63
Issue number	2
DOIs	https://doi.org/10.1016/s0165-1765(99)00051-8
Publication status	Published - 1999 May

All Science Journal Classification (ASJC) codes

Finance
Economics and Econometrics

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10.1016/s0165-1765(99)00051-8

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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.",

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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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JO - Economics Letters

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ER -

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

Abstract

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