A generalized method of impulse identification

Identifying the sources of economic fluctuations has always been an essenti al part of empirical macroeconomics. This note proposes a method of identif ication that allows restrictions on impulse responses at arbitrary frequenc ies. The method includes the popular American Economic Review 79(4), 655-67 3, 1989 (AER) procedure as a special case. The implications of the general method is demonstrated via an application to the case of spectral decomposi tion at the seasonal frequency. (C) 2001 Elsevier Science BY All rights res erved.