Kurmann, André; Mertens, Elmar - Federal Reserve Board (Board of Governors of the … - 2013
Beaudry and Portier (American Economoc Review, 2006) propose an identification scheme to study the effects of news shocks about future productivity in Vector Error Correction Models (VECM). This comment shows that their methodology does not have a unique solution, when applied to their VECMs...
