Structural identification of permanent shocks in VEC models: A generalization

Lance A. Fisher*, Hyeon Seung Huh, Peter M. Summers

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

11 Citations (Scopus)


An econometric procedure to identify the permanent shocks in vector error correction models is proposed, which allows one to combine long-run and contemporaneous restrictions. This procedure is applied to the six-variable model of King, Plosser, Stock and Watson (1991) with a view to providing an alternative interpretation to their results based on a different identification scheme. We argue that a real spending shock in the place of the real interest rate shock appears to better accommodate their empirical findings.

Original languageEnglish
Pages (from-to)53-68
Number of pages16
JournalJournal of Macroeconomics
Issue number1
Publication statusPublished - Dec 2000
Externally publishedYes


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