Ejrnæs, Mette; Browning, Martin James - In: Quantitative economics : QE ; journal of the … 5 (2014) 3, pp. 555-581
We consider the decomposition of shocks to a dynamic process into a persistent and a transitory component. Without additional assumptions (such as zero correlation) the decomposition of shocks into a persistent and transitory component is indeterminate. The assumption that is conventional in the...
