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 journalArticle

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 languageEnglish
Pages (from-to)159-165
Number of pages7
JournalEconomics Letters
Volume63
Issue number2
DOIs
Publication statusPublished - May 1999
Externally publishedYes

Keywords

  • C32
  • E20
  • Identification
  • Structural VEC
  • Transitory shocks

Fingerprint Dive into the research topics of 'Weak exogeneity and long-run and contemporaneous identifying restrictions in VEC models'. Together they form a unique fingerprint.

  • Cite this