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 Cambridge long-run structural VAR model and the COMPACT model. Various styles of impulse response analysis are also compared and contrasted, and used to illustrate model properties. The subtitle is a reference to the article ”Shocking stories” by Levtchenkova, Pagan and Robertson; in particular, their ”reverse engineering” procedure is used to infer long-run relations of COMPACT comparable to the CSVAR cointegrating relations. Keywords: cointegration, impulse response analysis, macroeconometric modelling, simultaneous equation models, structural VAR models, model comparisons JEL-code: C51, C52
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by University of Groningen, Research Institute SOM (Systems, Organisations and Management) in its series Research Report with number
02C56.