Permanent transitory effects VECM

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Polti
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Joined: Sun Apr 16, 2017 3:10 pm

Permanent transitory effects VECM

Postby Polti » Mon Apr 17, 2017 12:47 am

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 permanent and transitory shocks in Eviews after you have estimated a VECM?

mvh,
Robert

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