Mellander, Erik; Vredin, A; Warne, A - In: Journal of Applied Econometrics 7 (1992) 4, pp. 369-94
In this paper we describe how restricted vector autoregressions can be employed to examine the sources of macroeconomic fluctuations. We show how cointegration restrictions can be used to identify a VAR system with common stochastic trends subject to transitory and permanent changes in average...