논문목차

논문목차

A Structural Vector Error Correction Model with Shotr-Run and Long-Run Restrictions
  • Author
    Kyungho Jang
  • Year
    2008
  • Volume
    Vol.24
  • Number
    No.1
  • We consider structural vector error correction models (VECMs) in which permanent shocks are partially identified with a set of long-run restrictions, and fully identified with an additional set of short-run restrictions. An identification method with a combination of short-run and long-run restrictions has been studied in the vector autoregressive models literature, but not thoroughly applied to the VECM framework. There exists a separation in the literature; permanent shocks are identified with long-run restrictions while transitory shocks are identified with short-run restrictions. This paper's innovation is the identification of permanent shocks using both horizontal restrictions.
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