A systematic framework for analyzing the
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Jesús Gonzalo; Serena Ng
📂
Article
📅
2001
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Elsevier Science
🌐
English
⚖ 172 KB
This paper proposes a systematic framework for analyzing the dynamic e!ects of permanent and transitory shocks on a system of n economic variables. We consider a two-step orthogonolization on the residuals of a VECM with r cointegrating vectors. The "rst step separates the permanent from the transit