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...

In a number of time times models there are I(1) variables that appear in data sets in differenced from. This note shows that an emerging practice of assuming that observed data relates to model variables through the use of "measurement error shocks" when estimating these models can imply that...