A systematic framework for analyzing the dynamic effects of permanent and transitory shocks.

DOI10.1016/S0165-1889(99)00062-7zbMath1056.91548OpenAlexW2088057144WikidataQ126351317 ScholiaQ126351317MaRDI QIDQ5958098

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Publication date: 3 March 2002

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

Full work available at URL: https://doi.org/10.1016/s0165-1889(99)00062-7

zbMATH Keywords

response functionsCholeski decompositiontransitory shocks

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (10)

Bayesian Inference in CointegratedI(2) Systems: A Generalization of the Triangular Model ⋮ Structural vector autoregressive analysis for cointegrated variables ⋮ PERMANENT-TRANSITORY DECOMPOSITIONS UNDER WEAK EXOGENEITY ⋮ Econometric analysis of structural systems with permanent and transitory shocks ⋮ Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity ⋮ Markov-switching stochastic trends and economic fluctuations ⋮ ‘Slow-burn’ spillover and ‘fast and furious’ contagion: a study of international stock markets ⋮ A systematic framework for analyzing the dynamic effects of permanent and transitory shocks. ⋮ Some identification problems in the cointegrated vector autoregressive model ⋮ The buffer stock model redux? An analysis of the dynamics of foreign reserve accumulation

Cites Work

• Statistical analysis of cointegration vectors
• Small sample properties of tests of linear restrictions on cointegrating vectors and their weights
• Estimation and inference in nearly unbalanced nearly cointegrated systems
• Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing for Common Trends
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• A systematic framework for analyzing the dynamic effects of permanent and transitory shocks.
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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