A STRUCTURAL VECTOR ERROR CORRECTION MODEL WITH SHORT-RUN AND LONG-RUN RESTRICTIONS
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We consider structural vector error correction models (VECMs) in which permanent shocks are partially identified with a set of long-run restrictions, and fully identified with an additional set of short-run restrictions. An identification method with a combination of short-run and long-run restrictions has been studied in the vector autoregressive models literature, but not thoroughly applied to the VECM framework. There exists a separation in the literature; permanent shocks are identified with long-run restrictions while transitory shocks are identified with short-run restrictions. This paper's innovation is the identification of permanent shocks using both horizontal restrictions.
Abstract
We consider structural vector error correction models (VECMs) in which permanent shocks are partially identified with a set of long-run restrictions, and fully identified with an additional set of short-run restrictions. An identification method with a combination of short-run and long-run restrictions has been studied in the vector autoregressive models literature, but not thoroughly applied to the VECM framework. There exists a separation in the literature; permanent shocks are identified with long-run restrictions while transitory shocks are identified with short-run restrictions. This paper's innovation is the identification of permanent shocks using both horizontal restrictions.
참고문헌 (18)
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