Econometric analysis of structural systems with permanent and transitory shocks

DOI10.1016/j.jedc.2008.01.006zbMath1181.91269OpenAlexW3124635559MaRDI QIDQ2654404

M. Hashem Pesaran, Adrian R. Pagan

Publication date: 19 January 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2008.01.006

zbMATH Keywords

structural identificationerror correction modelsIS-LM modelspermanent shocks

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Related Items (6)

Structural vector autoregressions with Markov switching ⋮ On weak identification in structural VARMA models ⋮ Structural VARs, deterministic and stochastic trends: how much detrending matters for shock identification ⋮ Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks ⋮ Cointegration, long-run structural modelling and weak exogeneity: two models of the UK economy ⋮ ROBUST INFERENCE IN STRUCTURAL VECTOR AUTOREGRESSIONS WITH LONG-RUN RESTRICTIONS

Cites Work

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• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• A systematic framework for analyzing the dynamic effects of permanent and transitory shocks.

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