Comparing SVARs and SEMs: Two models of the UK economy
UNSPECIFIED (2005) Comparing SVARs and SEMs: Two models of the UK economy. In: Conference on the Wealth of Nations, Extending the tinbergen Heritage, Erasmus Univ, Rotterdam, NETHERLANDS, APR, 2003. Published in: JOURNAL OF APPLIED ECONOMETRICS, 20 (2). pp. 209-228.Full text not available from this repository.
Official URL: http://dx.doi.org/10.1002/jae.839
The structural vector autoregression (SVAR) and simultaneous equation macroeconometric model (SEM) styles of empirical macroeconomic modelling are compared and contrasted, with reference to two models of the UK economy, namely the long-run structural VAR model of Garratt, Lee, Pesaran and Shin and the COMPACT model. Various styles of impulse response analysis are also compared and contrasted, and used to illustrate model properties. A 'reverse engineering' procedure is used to infer long-run relations of COMPACT comparable to the GLPS cointegrating relations. Copyright (c) 2005 John Wiley T Sons, Ltd.
|Item Type:||Conference Item (UNSPECIFIED)|
|Subjects:||H Social Sciences > HC Economic History and Conditions
H Social Sciences
|Journal or Publication Title:||JOURNAL OF APPLIED ECONOMETRICS|
|Publisher:||JOHN WILEY & SONS LTD|
|Official Date:||March 2005|
|Number of Pages:||20|
|Page Range:||pp. 209-228|
|Title of Event:||Conference on the Wealth of Nations, Extending the tinbergen Heritage|
|Location of Event:||Erasmus Univ, Rotterdam, NETHERLANDS|
|Date(s) of Event:||APR, 2003|
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