Fisher, Lance A; Huh, Syeon-seung; Pagan, Adrian - National Centre for Econometric Research (NCER) - 2013
This paper considers structural models when both I(1) and I(0) variables are present. It is necessary to extend the traditional classification of shocks as permanent and transitory, and we do this by introducing a mixed shock. The extra shocks coming from introducing I(0) variables into a system...