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Article: On the validity and identification of long-run restrictions for a cointegrated system

TitleOn the validity and identification of long-run restrictions for a cointegrated system
Authors
Lau, SHP
KeywordsEconomic underpinning
Exogenous growth models
Long-run identifying restrictions
Issue Date2000
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ecmod
Citation
Economic Modelling, 2000, v. 17 n. 4, p. 485-496 How to Cite?
DOI: http://dx.doi.org/10.1016/S0264-9993(99)00036-X
AbstractThe identification approach suggested in Blanchard and Quah [1989 The dynamic effects of aggregate supply and demand disturbances. Am. Econ. Rev. 79:655-673] and King et al. [1991 Stochastic trends and economic flucuations. Am. Econ. Rev. 81:819-840] makes use of the long-run properties of structural disturbances. This paper provides economic underpinning for the use of long-run identifying restrictions by showing formally its validity for the class of exogenous growth models under certain conditions. This paper also obtains the minimum number of restrictions, in addition to the long-run restrictions, required for the identification of structural disturbances in a co-integrated system. © 2000 Elsevier Science B.V. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/54348
ISSN
0264-9993
2023 Impact Factor: 4.2
2023 SCImago Journal Rankings: 1.335
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorLau, SHPen_HK
dc.date.accessioned2009-04-03T07:44:06Z-
dc.date.available2009-04-03T07:44:06Z-
dc.date.issued2000en_HK
dc.identifier.citationEconomic Modelling, 2000, v. 17 n. 4, p. 485-496en_HK
dc.identifier.issn0264-9993en_HK
dc.identifier.urihttp://hdl.handle.net/10722/54348-
dc.description.abstractThe identification approach suggested in Blanchard and Quah [1989 The dynamic effects of aggregate supply and demand disturbances. Am. Econ. Rev. 79:655-673] and King et al. [1991 Stochastic trends and economic flucuations. Am. Econ. Rev. 81:819-840] makes use of the long-run properties of structural disturbances. This paper provides economic underpinning for the use of long-run identifying restrictions by showing formally its validity for the class of exogenous growth models under certain conditions. This paper also obtains the minimum number of restrictions, in addition to the long-run restrictions, required for the identification of structural disturbances in a co-integrated system. © 2000 Elsevier Science B.V. All rights reserved.en_HK
dc.languageengen_HK
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ecmoden_HK
dc.relation.ispartofEconomic Modellingen_HK
dc.rightsEconomic Modelling. Copyright © Elsevier BV.en_HK
dc.rightsThis work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.-
dc.subjectEconomic underpinningen_HK
dc.subjectExogenous growth modelsen_HK
dc.subjectLong-run identifying restrictionsen_HK
dc.titleOn the validity and identification of long-run restrictions for a cointegrated systemen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0264-9993&volume=17&issue=4&spage=485&epage=496&date=2000&atitle=On+the+validity+and+identification+of+long-run+restrictions+for+a+cointegrated+system+en_HK
dc.identifier.emailLau, SHP: laushp@hkucc.hku.hken_HK
dc.identifier.authorityLau, SHP=rp01073en_HK
dc.description.naturepostprinten_HK
dc.identifier.doi10.1016/S0264-9993(99)00036-Xen_HK
dc.identifier.scopuseid_2-s2.0-0034370001en_HK
dc.identifier.hkuros59451-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0034370001&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume17en_HK
dc.identifier.issue4en_HK
dc.identifier.spage485en_HK
dc.identifier.epage496en_HK
dc.publisher.placeNetherlandsen_HK
dc.identifier.scopusauthoridLau, SHP=7401596159en_HK
dc.identifier.issnl0264-9993-

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