Two structural cointegrated models of consumption, labor income and wealth are specified and estimated with US data using the approach of Pagan and Pesaran (2008). We find that consumption and labor income are weakly exogenous in the estimated reduced form model and show that this imposes...

This paper considers structural models when both I(1) and I(0) variables are present. It is necessary to extend the traditional classification of shocks into permanent and transitory and we do this by introducing a mixed shock. The extra shocks coming from introducing I(0) variables into a...