Empirical analysis of macroeconomic time series: VAR and structural models
Empirical analysis of macroeconomic time series: VAR and structural models
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
887-917
Clements, Michael P.
70afd671-3c77-4466-b133-0ad0ea2a0e2d
Mizon, Grayham E.
2b8353b4-0af4-48db-b552-6867dc1f4583
May 1991
Clements, Michael P.
70afd671-3c77-4466-b133-0ad0ea2a0e2d
Mizon, Grayham E.
2b8353b4-0af4-48db-b552-6867dc1f4583
Clements, Michael P. and Mizon, Grayham E.
(1991)
Empirical analysis of macroeconomic time series: VAR and structural models.
European Economic Review, 35 (4), .
(doi:10.1016/0014-2921(91)90042-H).
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
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Published date: May 1991
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Local EPrints ID: 32887
URI: http://eprints.soton.ac.uk/id/eprint/32887
ISSN: 0014-2921
PURE UUID: 0d8ae510-bf62-4036-8460-885ebf1d293a
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Date deposited: 04 Dec 2007
Last modified: 15 Mar 2024 07:40
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Author:
Michael P. Clements
Author:
Grayham E. Mizon
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