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.

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Abstract

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
ISSN:	0883-7252
Official Date:	March 2005
Volume:	20
Number:	2
Number of Pages:	20
Page Range:	pp. 209-228
Identification Number:	10.1002/jae.839
Publication Status:	Published
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
URI:	http://wrap.warwick.ac.uk/id/eprint/7182

Data sourced from Thomson Reuters' Web of Knowledge

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