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Comparing SVARs and SEMs: more shocking stories

Author

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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

Suggested Citation

  • Jacobs, Jan & Wallis, Kenneth F., 2002. "Comparing SVARs and SEMs: more shocking stories," Research Report 02C56, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    • Handle: RePEc:gro:rugsom:02c56
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    More about this item

    Keywords

    cointegration; impulse response analysis; macroeconometric modelling; simultaneous equation models; structural var models; model comparisons jel-code: c51; c52;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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