From a VAR Model to a Structural Model, with an Application to the Wage-Price Spiral
AbstractIn this paper a VAR model is considered as a general framework in which a structural model can be tested. We carefully describe the hypotheses defining a structural model; this leads us to discuss various notions such as: predeterminedness, non-causality, exogeneity, contemporaneous identification, overall identification, weak and strong structural forms, Then we propose a test procedure, based on the asymptotic least-squares method, which allows successive testing of each aspect of a structural model. This procedure is applied to the wage price spiral. Copyright 1990 by John Wiley & Sons, Ltd.
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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.
Volume (Year): 5 (1990)
Issue (Month): 3 (July-Sept.)
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Web page: http://www.interscience.wiley.com/jpages/0883-7252/
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- Urbain, Jean-Pierre, 1995. "Partial versus full system modelling of cointegrated systems an empirical illustration," Journal of Econometrics, Elsevier, vol. 69(1), pages 177-210, September.
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