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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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
Digital Object Identifier (DOI): doi:10.1016/0014-2921(91)90042-H
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
Accepted Date and Publication Date:
May 1991Published
Date Deposited: 04 Dec 2007
Last Modified: 31 Mar 2016 11:59
URI: http://eprints.soton.ac.uk/id/eprint/32887

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