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- Mon Apr 17, 2017 12:47 am
- Forum: General Information and Tips and Tricks
- Topic: Permanent transitory effects VECM
- Replies: 0
- Views: 3530
Permanent transitory effects VECM
Hi! I am trying to replicate Fernandez-Corugedo et al. (2003) ( http://www.bankofengland.co.uk/archive/Documents/historicpubs/workingpapers/2003/wp204.pdf ) and identify how large share of the variance that is explained by transitory and permanent shocks. Is it possible to decompose the variance in ...