Abstract

http://ssrn.com/abstract=1251542
 
 

Citations (5)



 


 



Econometric Analysis of Structural Systems with Permanent and Transitory Shocks


Adrian Pagan


Australian National University (ANU) - Research School of Social Sciences (RSSS); UNSW Australia Business School, School of Economics

M. Hashem Hashem Pesaran


University of Southern California; USC Dornsife Institute for New Economic Thinking

February 4, 2008

UNSW Australian School of Business Research Paper No. 2008 ECON 04

Abstract:     
This paper considers the implications of the permanent/transitory decomposition of shocks for identification of structural models in the general case where the model might contain more than one permanent structural shock. It provides a simple and intuitive generalization of the influential work of Blanchard and Quah (1989), and shows that structural equations with known permanent shocks can not contain error correction terms, thereby freeing up the latter to be used as instruments in estimating their parameters. The approach is illustrated by a re-examination of the identification schemes used by Wickens and Motto (2001), Shapiro and Watson (1988), King, Plosser, Stock, Watson (1991), Gali (1992, 1999) and Fisher (2006).

Number of Pages in PDF File: 26

Keywords: Permanent shocks, structural identification, error correction

JEL Classification: C30, C32, E10

working papers series





Download This Paper

Date posted: August 27, 2008  

Suggested Citation

Pagan, Adrian and Pesaran, M. Hashem Hashem, Econometric Analysis of Structural Systems with Permanent and Transitory Shocks (February 4, 2008). UNSW Australian School of Business Research Paper No. 2008 ECON 04. Available at SSRN: http://ssrn.com/abstract=1251542 or http://dx.doi.org/10.2139/ssrn.1251542

Contact Information

Adrian R. Pagan (Contact Author)
Australian National University (ANU) - Research School of Social Sciences (RSSS) ( email )
Canberra, Australian Capital Territory 0200
Australia
+61 2 6249 2216 (Phone)
+61 06 249 0182 (Fax)
UNSW Australia Business School, School of Economics
High Street
Sydney, NSW 2052
Australia
M. Hashem Hashem Pesaran
University of Southern California ( email )
Los Angeles, CA 90089
United States
USC Dornsife Institute for New Economic Thinking ( email )
3620 S. Vermont Avenue, KAP 364F
Los Angeles, CA 90089-0253
United States

Feedback to SSRN


Paper statistics
Abstract Views: 283
Downloads: 71
Download Rank: 200,256
Citations:  5

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo3 in 1.188 seconds