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Comparing SVARs and SEMs: two models of the UK economy

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Author Info
Kenneth F. Wallis (Department of Economics, University of Warwick, UK)
Jan P. A. M. Jacobs (CCSO and Department of Economics, University of Groningen, The Netherlands)

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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 © 2005 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/jae.839
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File URL: http://qed.econ.queensu.ca:80/jae/2005-v20.2/
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Publisher Info
Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 20 (2005)
Issue (Month): 2 ()
Pages: 209-228
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Handle: RePEc:jae:japmet:v:20:y:2005:i:2:p:209-228

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January. [Downloadable!] (restricted)
  2. Chaudhuri, Kausik & Daniel, Betty C., 1998. "Long-run equilibrium real exchange rates and oil prices," Economics Letters, Elsevier, vol. 58(2), pages 231-238, February. [Downloadable!] (restricted)
  3. M. Hashem Pesaran & Yongcheol Shin, 2002. "Long-Run Structural Modelling," Econometric Reviews, Taylor and Francis Journals, vol. 21(1), pages 49-87. [Downloadable!] (restricted)
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  4. Anthony Garratt & Kevin Lee & M. Hashem Pesaran & Yongcheol Shin, 2003. "A Long run structural macroeconometric model of the UK," Economic Journal, Royal Economic Society, vol. 113(487), pages 412-455, 04. [Downloadable!] (restricted)
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  5. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May. [Downloadable!] (restricted)
  6. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January. [Downloadable!] (restricted)
  7. Fisher, Lance A. & Huh, Hyeon-Seung & Summers, Peter M., 2000. "Structural Identification of Permanent Shocks in VEC Models: A Generalization," Journal of Macroeconomics, Elsevier, vol. 22(1), pages 53-68, January. [Downloadable!] (restricted)
  8. Darby, Julia & Ireland, Jonathan & Leith, Campbell & Wren-Lewis, Simon, 1998. "COMPACT: a rational expectations, intertemporal model of the United Kingdom economy," Economic Modelling, Elsevier, vol. 16(1), pages 1-52, January. [Downloadable!] (restricted)
  9. Bernanke, Ben S., 1986. "Alternative explanations of the money-income correlation," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 25(1), pages 49-99, January. [Downloadable!] (restricted)
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  10. Mitchell, Peter R. & Sault, Joanne E. & Smith, Peter N. & Wallis, Kenneth F., 1998. "Comparing global economic models," Economic Modelling, Elsevier, vol. 15(1), pages 1-48, January. [Downloadable!] (restricted)
  11. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September. [Downloadable!] (restricted)
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  1. Marcus Keogh-Brown & Simon Wren-Lewis & W. John Edmunds & Philippe Beutels & Richard D. Smith, 2009. "The possible macroeconomic impact on the UK of an influenza pandemic," Economics Series Working Papers 431, University of Oxford, Department of Economics. [Downloadable!]
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