Engle, Robert F.; Smith, Aaron D. - In: The Review of Economics and Statistics 81 (1999) 4, pp. 553-574
This paper bridges the gap between processes where shocks are permanent and those with transitory shocks by formulating a process in which the long-run impact of each innovation is time-varying and stochastic. In the stochastic permanent breaks (STOPBREAK) process, frequent transitory shocks are...