This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

A structural cointegrating VAR approach to macroeconometric modelling

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
A Garratt
K Lee
M H Pesaran
Yongcheol Shin ()

Additional information is available for the following registered author(s):

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.

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 file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.econ.cam.ac.uk/faculty/pesaran/ni99.pdf
File Format: application/pdf
File Function:
Download Restriction: no

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

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length: 32
Date of creation: Jan 1999
Date of revision:
Handle: RePEc:edn:esedps:8

Contact details of provider:
Postal: 50 George Square, EH8 9JY, Edinburgh
Phone: +44(0)1316508361
Fax: +44(0)1316504514
Web page: http://www.econ.ed.ac.uk/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Santiago Sanchez-Pages).

Related research
Keywords: Structural Cointegrating VAR Macroeconomic Modelling Generalised Impulse Responses Persistence Profiles Probability Forecasts.

Other versions of this item:

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

This paper has been announced in the following NEP Reports:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)
  1. Garrat, A. & Lee, K. & Pesaran, M.H. & Shin, Y., 2000. "Forecast Uncertainties in Macroeconometric Modelling: An Application to the UK Economy," Cambridge Working Papers in Economics 0004, Faculty of Economics, University of Cambridge. [Downloadable!]
    Other versions:
  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. Pesaran, M.H. & Weiner, S.M., 2001. "Modelling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model," Cambridge Working Papers in Economics 0119, Faculty of Economics, University of Cambridge. [Downloadable!]
    Other versions:
  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. 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)
Statistics
Access and download statistics

Did you know? LogEc provides statistical analysis about downloads from this service (and others).

This page was last updated on 2008-8-14.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.