Crowder, William J.; Hoffman, Dennis L.; Rasche, Robert H. - In: The Review of Economics and Statistics 81 (1999) 1, pp. 109-121
This paper examines the roles played by innovations identified from a simple four-variable VAR characterized by cointegration. Using knowledge of cointegration rank and “textbook” relations that link macroeconomic aggregates, we identify distinct “real” and “nominal” innovations that...