Calculation of aggregate demand and supply disturbances from a common trends model

Authors
Hansson, J
Citation
J. Hansson, Calculation of aggregate demand and supply disturbances from a common trends model, ECON LETT, 65(3), 1999, pp. 309-314
Citations number
9
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
65
Issue
3
Year of publication
1999
Pages
309 - 314
Database
ISI
SICI code
0165-1765(199912)65:3<309:COADAS>2.0.ZU;2-5
Abstract
The paper shows how to calculate permanent and transitory innovations a la Blanchard and Quah (American Economic Review, 79 (1989) 655-673) from a coi ntegrated VAR model. This is important for two reasons: first, it clarifies the relation between the two decompositions (they are equivalent) and seco nd, it simplifies the procedure of actually computing the structural innova tions. (C) 1999 Elsevier Science S.A. All rights reserved.