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
ePrint ID: 32887
Date Deposited: 04 Dec 2007
Last Modified: 27 Mar 2014 18:20
URI: http://eprints.soton.ac.uk/id/eprint/32887

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