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A structural cointegrating VAR approach to macroeconometric modelling

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

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Abstract

In this paper we discuss the 'structural cointegrating VAR' approach to macroeconometric modelling and compare 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 cointegrating 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 macroeconometric model of the UK. The uses of the model in impulse response analysis and probability forecasting is also discussed.

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Paper provided by Edinburgh School of Economics, University of Edinburgh in its series ESE Discussion Papers with number 8.

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Length: 32
Date of creation: Jan 1999
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Handle: RePEc:edn:esedps:8

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

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  1. 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)
  2. Melisso Boschi, 2007. "Foreign capital in Latin America: A long-run structural Global VAR perspective," Economics Discussion Papers 647, University of Essex, Department of Economics. [Downloadable!]
  3. 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!]
  4. 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)
  5. Phillip Rothman & Dick van Dijk & Philip Hans Franses, 2000. "A Multivariate STAR Analysis of the Relationship Between Money and Output," Working Papers 0012, East Carolina University, Department of Economics. [Downloadable!]
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  6. Jan P.A.M. Jacobs & Kenneth F. Wallis, 2007. "Cointegration, Long-Run Structural Modelling And Weak Exogeneity: Two Models Of The Uk Economy," CAMA Working Papers 2007-12, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
  7. Michael R. Wickens & Roberto Motto, 2001. "Estimating shocks and impulse response functions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 371-387. [Downloadable!]
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