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Classical identification: A viable road for data to inform structural modeling

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Abstract

This paper addresses how to enhance the role of data in structural model design by utilizing structural breaks and superfluous information as auxiliary tools of exact identification. To illustrate the procedure and to study the simultaneous interplay between financial variables and the real side of the economy a simultaneous equation model is constructed on Norwegian aggregate data. In this model, while innovations to stock prices and credit do cause short run movements in real activity, such innovations do not precede real economy movements in the long run.

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File URL: http://www.ssb.no/a/publikasjoner/pdf/DP/dp562.pdf
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Bibliographic Info

Paper provided by Research Department of Statistics Norway in its series Discussion Papers with number 562.

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Date of creation: Oct 2008
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Handle: RePEc:ssb:dispap:562

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Keywords: Structural vector Error Correction modeling; Identification; Cointegration; Financial variables and the real economy.;

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  1. Beaudry, Paul & Portier, Franck, 2003. "Stock Prices, News and Economic Fluctuations," IDEI Working Papers 158, Institut d'Économie Industrielle (IDEI), Toulouse.
  2. Beaudry, Paul & Portier, Franck, 2005. "The "news view" of economic fluctuations: Evidence from aggregate Japanese data and sectoral US data," Journal of the Japanese and International Economies, Elsevier, vol. 19(4), pages 635-652, December.
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Cited by:
  1. Roger Hammersland & Dag Henning Jacobsen, 2008. "The Financial Accelerator: Evidence using a procedure of Structural Model Design," Discussion Papers 569, Research Department of Statistics Norway.

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