On identifying permanent and transitory shocks in VAR models

被引：3

作者：

Yang, MX ^{[1
]}

机构：

[1] Univ New S Wales, Sch Econ, Sydney, NSW 2052, Australia

来源：

ECONOMICS LETTERS | 1998年 / 58卷 / 02期

基金：

澳大利亚研究理事会;

关键词：

cointegration; error-correction models; impulse responses;

D O I：

10.1016/S0165-1765(97)00268-1

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

A simple procedure to identify the groups of permanent and transitory shocks in a cointegrated VAR model is suggested and a method for inverting the cointegrated VAR is provided. (C) 1998 Elsevier Science S.A.

引用

页码：171 / 175

页数：5

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