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dc.contributor.authorPagan, Adrianen_US
dc.contributor.authorPesaran, Mohammad Hashemen_US
dc.date.accessioned2007-07-23en_US
dc.date.accessioned2009-07-28T08:14:20Z-
dc.date.available2009-07-28T08:14:20Z-
dc.date.issued2007en_US
dc.identifier.urihttp://hdl.handle.net/10419/25969-
dc.description.abstractThis 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 for which there are known permanent shocks must have no error correction terms present in them, thereby freeing up the latter to be used as instruments in estimating their parameters. The proposed approach is illustrated by a re-examination of the identification scheme used in a monetary model by Wickens and Motta (2001), and in a well known paper by Gali (1992) which deals with the construction of an IS-LM model with supply-side effects. We show that the latter imposes more short-run restrictions than are needed because of a failure to fully utilize the cointegration information.en_US
dc.language.isoengen_US
dc.publisherCESifo Münchenen_US
dc.relation.ispartofseriesCESifo working paper 1924en_US
dc.subject.jelC30en_US
dc.subject.jelC32en_US
dc.subject.jelE10en_US
dc.subject.ddc330en_US
dc.subject.keywordpermanent shocksen_US
dc.subject.keywordstructural identificationen_US
dc.subject.keyworderror correction modelsen_US
dc.subject.keywordIS-LM modelsen_US
dc.subject.stwStrukturgleichungsmodellen_US
dc.subject.stwSchocken_US
dc.subject.stwSchätztheorieen_US
dc.subject.stwFehlerkorrekturmodellen_US
dc.subject.stwIS-LM-Diagrammen_US
dc.subject.stwTheorieen_US
dc.titleOn econometric analysis of structural systems with permanent and transitory shocks and exogenous variablesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn538034203en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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