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

^*Corresponding author for this work

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 - May 1999
Externally published	Yes

Keywords

C32
E20
Identification
Structural VEC
Transitory shocks

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10.1016/S0165-1765(99)00051-8

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title = "Weak exogeneity and long-run and contemporaneous identifying restrictions in VEC models",

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.",

keywords = "C32, E20, Identification, Structural VEC, Transitory shocks",

author = "Fisher, {Lance A.} and Huh, {Hyeon Seung}",

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volume = "63",

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journal = "Economics Letters",

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T1 - Weak exogeneity and long-run and contemporaneous identifying restrictions in VEC models

AU - Fisher, Lance A.

AU - Huh, Hyeon Seung

PY - 1999/5

Y1 - 1999/5

N2 - 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.

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.

KW - C32

KW - E20

KW - Identification

KW - Structural VEC

KW - Transitory shocks

UR - http://www.scopus.com/inward/record.url?scp=0033414364&partnerID=8YFLogxK

U2 - 10.1016/S0165-1765(99)00051-8

DO - 10.1016/S0165-1765(99)00051-8

M3 - Article

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SN - 0165-1765

VL - 63

SP - 159

EP - 165

JO - Economics Letters

JF - Economics Letters

IS - 2

ER -

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

Abstract

Keywords

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