Econometric Analysis of Structural Systems with Permanent and Transitory Shocks
نویسنده
چکیده
This paper considers the implications of the permanent/transitory decomposition of shocks for identi cation of structural models in the general case where the model might contain more than one permanent structural shock. It provides a simple and intuitive generalization of the inuential work of Blanchard and Quah (1989), and shows that structural equations with known permanent shocks can not contain error correction terms, thereby freeing up the latter to be used as instruments in estimating their parameters. The approach is illustrated by a re-examination of the identi cation schemes used by Wickens and Motto (2001), Shapiro and Watson (1988), King, Plosser, Stock, Watson (1991), Gali (1992, 1999) and Fisher (2006). JEL Classi cations: C30, C32, E10 Key Words: Permanent shocks, structural identi cation, error correction models, IS-LM models. We are grateful to two anonymous referee and the Co-editor (Tim Cogley) for their helpful comments on an earlier version of the paper which was entitled On Econometric Analysis of Structural Systems with Permanent and Transitory Shocks and Exogenous Variables. The research of the rst author was supported by ARC Grant DP0449659.
منابع مشابه
On Econometric Analysis of Structural Systems with Permanent and Transitory Shocks and Exogenous Variables
This paper considers the implications of the permanent/transitory decomposition of shocks for identi cation of structural models in the general case where the model might contain more than one permanent structural shock. It provides a simple and intuitive generalization of the inuential work of Blanchard and Quah (1989), and shows that structural equations for which there are known permanent s...
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