Econometric Methods for Modelling Systems With a Mixture ofi(1) andi(0) Variables
研究同时包含I(1)和I(0)变量的结构模型，将冲击分为永久/暂时两类，分析P0冲击对协整的影响，并给出计算永久成分的公式，最后用实证SVAR模型展示其应用。
Summary This paper considers structural models with both I (1) and I (0) variables. The structural shocks associated with either set of variables could be permanent or transitory. We classify the shocks as (P1,P0) and (T1,T0), where P/T distinguishes permanent/transitory, while 1/0 means they are attached to structural equations with either I (1) or I (0) variables as their ‘dependent’ variable. We show that P0 shocks can affect cointegration analysis and provide a formula to compute the permanent component if they are present. Finally, we reformulate a well‐known empirical structural vector autoregression showing the impact of P0 shocks when there are just long‐run parametric and sign restrictions. Copyright © 2015 John Wiley & Sons, Ltd.