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Government Spending Shocks in Quarterly and Annual Time Series

Authors


  • We thank Jörg Breitung, Helmut Lütkepohl, Masao Ogaki (the Editor), Johannes Pfeifer, and two anonymous referees for very helpful comments. The usual disclaimer applies.

Abstract

Government spending shocks are frequently identified in quarterly time-series data by ruling out a contemporaneous response of government spending to other macroeconomic aggregates. We provide evidence that this assumption may not be too restrictive for annual time-series data.

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