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A Macroeconomic Rationing Model Estimated by Cointegration Techniques and Generalized Method of Moments

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  • : Eskil Heinesen

    (Institute of Economics, University of Copenhagen)

Abstract

A 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 Info

Paper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number 93-10.

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Length: 28 pages
Date of creation: Sep 1993
Date of revision:
Publication status: Published in: Economic Modelling, 1995, 12(2) pp 97-110
Handle: RePEc:kud:kuiedp:9310

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Web page: http://www.econ.ku.dk
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Keywords: general aggregative models; general forecasts and models; Denmark;

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References

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  1. Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, Elsevier, vol. 6(3), pages 255-259.
  2. Eskil HEINESEN, 1994. "CES Transaction Functions in Macroeconomic Rationing Models," Discussion Papers (REL - Recherches Economiques de Louvain) 1994032, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  3. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
  4. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, Econometric Society, vol. 59(3), pages 817-58, May.
  5. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, Econometric Society, vol. 55(2), pages 251-76, March.
  6. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 12(2-3), pages 231-254.
  7. Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
  8. Fase, M. M. G. & Kramer, P. & Boeschoten, W. C., 1992. "MORKMON II : The Nederlandsche Bank's quarterly model of the Netherlands economy," Economic Modelling, Elsevier, Elsevier, vol. 9(2), pages 146-204, April.
  9. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 1029-54, July.
  10. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, Econometric Society, vol. 59(6), pages 1551-80, November.
  11. Bean, C. & Gavosto, A., 1989. "Outsiders, Capacity Shortages And Unemployment In The United Kingdom," Papers, London School of Economics - Centre for Labour Economics 332, London School of Economics - Centre for Labour Economics.
  12. Henrik Hansen & Søren Johansen, 1992. "Recursive Estimation in Cointegrated VAR-Models," Discussion Papers 92-13, University of Copenhagen. Department of Economics.
  13. Christensen, Anders Moller & Knudsen, Dan, 1992. "MONA: A quarterly model of the Danish economy," Economic Modelling, Elsevier, Elsevier, vol. 9(1), pages 10-74, January.
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