Federal Reserve Board
نویسندگان
چکیده
Beaudry and Portier (2006) propose an identification scheme to study the effects of news shocks about future productivity in Vector Error Correction Models (VECM). This comment shows that their methodology does not have a unique solution, when applied to their VECMs with more than two variables. The problem arises from the interplay of cointegration assumptions and long-run restrictions imposed by Beaudry and Portier (2006). ∗The views expressed in this paper do not necessarily represent the views of the Federal Reserve System or the Federal Open Market Committee. 1
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