Empirical analysis of macroeconomic time series: VAR and structural models
Clements, Michael P. and Mizon, Grayham E. (1991) Empirical analysis of macroeconomic time series: VAR and structural models. European Economic Review, 35, (4), 887-917. (doi:10.1016/0014-2921(91)90042-H).
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Description/Abstract
VAR and structural econometric models have complementary roles in the modelling of macroeconomic time series. A constant parameter VAR, provided it is statistically well specified, constitutes a valid basis for testing hypotheses of dynamic specification, exogeneity, and a priori structure, thus facilitating model evaluation, as well as suggesting a potentially efficient model development strategy. Deterministic (e.g. trends and regime shifts) and stochastic (e.g. integrated variables) non-stationarities are analysable within this framework, and the Johansen maximum likelihood procedure for cointegrated systems is used in an analysis of the determination of earnings, prices, productivity, and unemployment in the U.K
| Item Type: | Article |
|---|---|
| ISSNs: | 0014-2921 (print) |
| Related URLs: | |
| Subjects: | H Social Sciences > HB Economic Theory |
| Divisions: | University Structure - Pre August 2011 > School of Social Sciences > Economics |
| Item ID: | 32887 |
| Date Deposited: | 04 Dec 2007 |
| Last Modified: | 31 May 2011 23:53 |
| Contributors: | Clements, Michael P. (Author) Mizon, Grayham E. (Author) |
| Date: | May 1991 |
| Status: | Published |
| URI: | http://eprints.soton.ac.uk/id/eprint/32887 |
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