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A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks

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  • Gonzalo, J.
  • Ng, S.

Abstract

This paper proposes a systematic framework for analyzing the dynamic effects of permanent and transitory shocks on a system of "n" economic variables.

Suggested Citation

  • Gonzalo, J. & Ng, S., 1996. "A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks," Cahiers de recherche 9603, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    • Handle: RePEc:mtl:montec:9603
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    26. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
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    Keywords

    ECONOMETRICS;

    JEL classification:

    • C00 - Mathematical and Quantitative Methods - - General - - - General

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