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Econometric analysis of structural systems with permanent and transitory shocks

Pagan, Adrian R.; Pesaran, M. Hashem - In: Journal of economic dynamics & control 32 (2008) 10, pp. 3376-3395

Persistent link: https://www.econbiz.de/10003775856

Econometric analysis of structural systems with permanent and transitory shocks

Pagan, Adrian R. (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003798174

Detecting common dynamics in transitory components

Christensen, Tim M.; Hurn, Stan; Pagan, Adrian R. - 2009

Persistent link: https://www.econbiz.de/10003978749

On econometric analysis of structural systems with permanent and transitory shocks and exogenous variables

Pagan, Adrian R. (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003495788

On econometric analysis of structural systems with permanent and transitory shocks and exogenous variables

Pagan, Adrian R. (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003565717

On econometric analysis of structural systems with permanent and transitory shocks and exogenous variables

Pagan, Adrian R. (contributor); … - 2007

This paper considers the implications of the permanent/transitory decomposition of shocks for identification of structural models in the general case where the model might contain more than one permanent structural shock. It provides a simple and intuitive generalization of the influential work...