MISINTERPRETING THE DYNAMIC EFFECTS OF AGGREGATE DEMAND AND SUPPLY DISTURBANCES

被引：8
|
作者：
QUAH, D
机构：
[1] Economics Department, London School of Economics and Political Science, London, WC2A 2AE, Houghton Street
来源：
ECONOMICS LETTERS | 1995年 / 49卷 / 03期
关键词：
COINTEGRATION; PERMANENT AND TRANSITORY COMPONENTS; UNIT ROOT; VECTOR AUTOREGRESSION;
D O I：
10.1016/0165-1765(95)00687-B
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Cointegration models imply a natural decomposition of vector time series into permanent and transitory components. However, contrary to common belief, they do not trace out all possible such decompositions. This paper clarifies how a different, commonly-used decomposition-that due to Blanchard and Quah (American Economic Review, 1989, 79, 655-673) - differs substantively and conceptually from the decompositions given by cointegration calculations.
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页码：247 / 250
页数：4
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