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A Structural Cointegrating VAR Approach to Macroeconometric Modelling

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Author Info
Garratt, Anthony
Lee, Kevin C
Pesaran, M. Hashem
Shin, Yongcheol

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Abstract

This paper discusses the ?structural cointegrating VAR? approach to macroeconometric modelling and compares it to other approaches currently followed in the literature, namely, the large-scale simultaneous equation macroeconometric models, the structural VARs, and the dynamic stochastic general equilibrium models. The structural co- integrating VAR approach has the attractive features that the estimated long-run relationships embedded in the model are theory consistent, and have a clear economic interpretation, and yet the short-run dynamics are flexibly estimated within a VAR framework. The approach is illustrated using a small quarterly macroeconomic model of the UK, and its use in impulse response analysis and probability forcasting is discussed.

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Publisher Info
Paper provided by Faculty of Economics, University of Cambridge in its series Cambridge Working Papers in Economics with number 9823.

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Date of creation: Nov 1998
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Handle: RePEc:cam:camdae:9823

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Related research
Keywords: Structural cointegrating VAR; Macroeconomic modelling; Generalised impulse responses; Persistence profiles; Probability forecasts;

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Find related papers by JEL classification:
C5 - Mathematical and Quantitative Methods - - Econometric Modeling
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation

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  1. Paul Gaggl & Serguei Kaniovski & Klaus Prettner & Thomas Url, 2009. "The short and long-run interdependencies between the Eurozone and the USA," Empirica, Springer, vol. 36(2), pages 209-227, May. [Downloadable!] (restricted)
  2. Claus Brand & Nuno Cassola, 2004. "A money demand system for euro area M3," Applied Economics, Taylor and Francis Journals, vol. 36(8), pages 817-838, May. [Downloadable!] (restricted)
  3. Alessandro Galesi & Marco J. Lombardi, 2009. "External shocks and international inflation linkages - a Global VAR analysis," Working Paper Series 1062, European Central Bank. [Downloadable!]
  4. Guglielmo Maria Caporale & Alaa M. Soliman, 2005. "The Asymmetric Effects Of A Common Monetary Policy In Europe," Economics and Finance Discussion Papers 05-20, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
  5. Jan Gottschalk, 2001. "An Introduction into the SVAR Methodology: Identification, Interpretation and Limitations of SVAR models," Kiel Working Papers 1072, Kiel Institute for the World Economy. [Downloadable!]
  6. H. Levent Korap, 2007. "Multirank Cointegration Analysis Of Turkish M1 Money Demand (1987q1-2006q3)," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 6(1), pages 1-28, May. [Downloadable!]
  7. M. Hashem Pesaran & Til Schuermann & Scott M. Weiner, 2001. "Modelling regional interdependencies using a global error-correcting macroeconometric model," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 B4-1, International Conferences on Panel Data. [Downloadable!]
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  8. Juan de Dios Tena & Jorge Dresdner & Ivan Araya, 2007. "A multimarket approach to estimate a New Keynesian Phillips Curve," Statistics and Econometrics Working Papers ws076917, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
  9. M. Hashem Pesaran, 2000. "Forecast Uncertainties in Macroeconometric Modelling: An Application to the UK Economy," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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  10. Alain Maurin & Sandra Sookram & Patrick Kent Watson, 2006. "Measuring the size of the hidden economy in Trinidad & Tobago, 1973--1999," International Economic Journal, Korean International Economic Association, vol. 20(3), pages 321-341, September. [Downloadable!] (restricted)
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