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Structural Analysis of Cointegrating VARs

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Author Info
 Pesaran, M Hashem
Smith, Ron P

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Abstract

This survey uses a number of recent developments in the analysis of cointegrating Vector Autoregressions (VARs) to examine their links to the older structural modelling traditions using Autoregressive Distributed Lag (ARDL), and Simultaneous Equations Models (SEMs). In particular, it emphasizes the importance of using judgement and economic theory to supplement the statistical information. After a brief historical review it sets out the statistical framework, discusses the identification of impulse responses using the Generalized Impulse Response functions, reviews the analysis of cointegrating VARs and highlights the large number of choices applied workers have to make in determining a specification. In particular, it considers the problem of specification of intercepts and trends and the size of the VAR in more detail, and examines the advantages of the use of exogenous variables in cointegration analysis. The issues are illustrated with a small U.S. macroeconomic model. Copyright 1998 by Blackwell Publishers Ltd

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Article provided by Blackwell Publishing in its journal Journal of Economic Surveys.

Volume (Year): 12 (1998)
Issue (Month): 5 (December)
Pages: 471-505
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Handle: RePEc:bla:jecsur:v:12:y:1998:i:5:p:471-505

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