The Model
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= (1 − ( −1 ))Π (L)X t−1 + (( −1 ))Π (L)X t−1 +u t = [ , , ] ~(0, Ω ) Ω = (1 − ( −1 ))Ω E + (( −1 ))Ω R ( )= exp(− ) 1 + exp(− ) ,>0 ( ) = 1, ( )=0 Case 1: Augment the model with Monetary Policy = [ , , , , ] Case 2: Augment the model with Monetary Policy and Disaggregate Spending = [ , , , , , ] Case 3: Augment case 2 with anticipation effect
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Transcript of The Model
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= (1 (1))(L)Xt1 + ((1))(L)Xt1 + ut
= [ , , ]
~(0, )
= (1 (1))E + ((1))R
() =exp()
1 + exp(), > 0
() = 1, () = 0
Case 1: Augment the model with Monetary Policy
= [ , , , , ]
Case 2: Augment the model with Monetary Policy and Disaggregate Spending
= [, , ,, , ]
Case 3: Augment case 2 with anticipation effect
