Stock Prices, News, and Economic Fluctuations: Comment
指出Beaudry和Portier（2006）提出的用于研究未来生产率新闻冲击效应的识别方案，在应用于超过两个变量的向量误差修正模型时存在非唯一解问题，问题源于协整假设与长期限制的特定交互作用。
Beaudry and Portier (2006) propose an identification scheme to study the effects of news shocks about future productivity in vector error correction models (VECMs). This comment shows that, when applied to their VECMs with more than two variables, the identification scheme does not have a unique solution. The problem arises from a particular interplay of cointegration assumptions and long-run restrictions.