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A long run structural macroeconometric model of the UK

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Author Info
A Garratt
K Lee
M Pesaran
Yongcheol Shin ()

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Abstract

A new modelling strategy is introduced which provides a practical approach to incorporating long- run structural relationships, suggested by economic theory, in an otherwise unrestricted VAR model. The strategy is applied in the construction of a small quarterly macroeconometric model of the UK, estimated over the period 1965q1-1995q4 in eight core variables: domestic and foreign outputs, domestic and foreign prices (both measured relative to oil prices), the nominal effective exchange rate, nominal domestic and foreign interest rates and real money balances. The aim is to develop a core model with a transparent and theoretically coherent foundation. Tests of restrictions on the long-run relations of the model are presented and the dynamic properties of the model are discussed.

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Publisher Info
Paper provided by Edinburgh School of Economics, University of Edinburgh in its series ESE Discussion Papers with number 35.

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Length: 39
Date of creation: Apr 2004
Date of revision:
Handle: RePEc:edn:esedps:35

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Related research
Keywords: Long-Run Structural VAR; A Core UK Model; Macroeconomic Modelling; Persistence Profiles;

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Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
E24 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution

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