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Comparing SVARs and SEMs: more shocking stories

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  • Jacobs, Jan
  • Wallis, Kenneth F.

    (Groningen University)

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 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

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Paper provided by University of Groningen, Research Institute SOM (Systems, Organisations and Management) in its series Research Report with number 02C56.

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Date of creation: 2002
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Handle: RePEc:dgr:rugsom:02c56

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  1. Evans, Lewis & Wells, Graeme, 1983. "An alternative approach to simulating var models," Economics Letters, Elsevier, vol. 12(1), pages 23-29.
  2. A Garratt & K Lee & M Pesaran & Yongcheol Shin, 2004. "A long run structural macroeconometric model of the UK," ESE Discussion Papers 35, Edinburgh School of Economics, University of Edinburgh.
  3. Garratt, Anthony & Lee, Kevin C & Pesaran, M. Hashem & Shin, Yongcheol, 1998. "A Structural Cointegrating VAR Approach to Macroeconometric Modelling," Cambridge Working Papers in Economics 9823, Faculty of Economics, University of Cambridge.
  4. 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.
  5. 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.
  6. Simon Gilchrist & John C. Williams, 2000. "Putty-Clay and Investment: A Business Cycle Analysis," Journal of Political Economy, University of Chicago Press, vol. 108(5), pages 928-960, October.
  7. S. Levtchenkova & A. R. Pagan & J. C. Robertson, 1998. "Shocking Stories," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 507-532, December.
  8. Holly,Sean & Weale,Martin (ed.), 2000. "Econometric Modelling," Cambridge Books, Cambridge University Press, number 9780521650694.
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