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

被引：7

作者：

Fisher, LA ^{[1
]}

Huh, HS

机构：

[1] Univ New S Wales, Sch Econ, Sydney, NSW 2052, Australia

[2] Univ Melbourne, Melbourne Inst Appl Econ & Social Res, Parkville, Vic 3052, Australia

来源：

ECONOMICS LETTERS | 1999年 / 63卷 / 02期

关键词：

identification; structural VEC; transitory shocks;

D O I：

10.1016/S0165-1765(99)00051-8

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 1999 Elsevier Science S.A. All rights reserved.

引用

页码：159 / 165

页数：7

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