A Macroeconomic Rationing Model Estimated by Cointegration Techniques and Generalized Method of Moments
AbstractA macroeconomic rationing model based on nested CES transaction functions for the goods and labor markets is presented. The model is estimated on quarterly data for the Danish private non-agricultural sector, using regime proportion indicators based on business survey information. The focus of the paper is on the method of estimation, which is a two-step procedure. To take account of the fact that some of the variables of the model are integrated of order one, the corresponding parameters are estimated by cointegration techniques (the Johansen method) in the first step. In the second step the other parameters of the model are estimated simultaneously by GMM. It is argued that this two-step estimation procedure is consistent. Finally, the estimation results are used to cast some light on the rise in Danish unemployment in the period 1971-90.
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Bibliographic InfoPaper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number 93-10.
Length: 28 pages
Date of creation: Sep 1993
Date of revision:
Publication status: Published in: Economic Modelling, 1995, 12(2) pp 97-110
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Postal: Øster Farimagsgade 5, Building 26, DK-1353 Copenhagen K., Denmark
Phone: (+45) 35 32 30 10
Fax: +45 35 32 30 00
Web page: http://www.econ.ku.dk
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general aggregative models; general forecasts and models; Denmark;
Other versions of this item:
- Heinesen, Eskil, 1995. "A macroeconomic rationing model estimated by cointegration techniques and generalized method of moments," Economic Modelling, Elsevier, vol. 12(2), pages 97-110, April.
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
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