Econometric Methods for Modelling Systems With a Mixture of i(1) and i(0) Variables

Medientyp: E-Artikel
Titel: Econometric Methods for Modelling Systems With a Mixture of i(1) and i(0) Variables
Beteiligte: Fisher, Lance A.; Huh, Hyeon‐Seung; Pagan, Adrian R.
Erschienen: Wiley, 2016
Erschienen in: Journal of Applied Econometrics
Sprache: Englisch
DOI: 10.1002/jae.2459
ISSN: 0883-7252; 1099-1255
Schlagwörter: Economics and Econometrics ; Social Sciences (miscellaneous)
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Beschreibung: <jats:title>Summary</jats:title><jats:p>This paper considers structural models with both <jats:italic>I</jats:italic>(1) and <jats:italic>I</jats:italic>(0) variables. The structural shocks associated with either set of variables could be permanent or transitory. We classify the shocks as (P1,P0) and (T1,T0), where P/T distinguishes permanent/transitory, while 1/0 means they are attached to structural equations with either <jats:italic>I</jats:italic>(1) or <jats:italic>I</jats:italic>(0) variables as their ‘dependent’ variable. We show that P0 shocks can affect cointegration analysis and provide a formula to compute the permanent component if they are present. Finally, we reformulate a well‐known empirical structural vector autoregression showing the impact of P0 shocks when there are just long‐run parametric and sign restrictions. Copyright © 2015 John Wiley & Sons, Ltd.</jats:p>

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