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Atheoretical And Structural Approaches To Modelling Canadian-American Macroeconomic Interaction

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  • JOHNSON, D.R.
  • SCHEMBRI, L.

Abstract

Much recent work on Canadian-American macroeconomic interaction utilizes the vector autoregression methodology advocated by Sims (1980). Examples include Burbidge and Harrison (1985), Kusczak and Murray (1986) and Ambler (1988). The Sims' methodology is severely criticized by Cooley and Leroy (1985) and Leamer (1985) because, as it is generally implemented and interpreted, including in the studies cited above, the models contain strong implicit identifying assumptions. Bernanke (1986), Blanchard (1986) and Sims (1986) propose alternative estimation techniques which, while retaining some of the advantages of the vector autoregression approach, make the identifying assumptions explicit. This paper uses both approaches to estimate models of Canadian-American macroeconomic interaction. The results show the method adopted does affect the interpretation of the results. The vector autoregression methodology is not free of the imposition of untestable identifying assumptions.

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Bibliographic Info

Paper provided by Wilfrid Laurier University, Department of Economics in its series Working Papers with number 89133.

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Length: 19 pages
Date of creation: 1989
Date of revision:
Handle: RePEc:wlu:wpaper:89133

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Keywords: macroeconomics ; economic models;

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Cited by:
  1. Souki, Kaouthar, 2008. "Assessing the effects of U.S. shocks on the Canadian economy using alternative identification methods," The North American Journal of Economics and Finance, Elsevier, vol. 19(2), pages 193-213, August.
  2. Yun Daisy Li & Talan B. Iscan & Kuan Xu, 2007. "The Impact of Monetary Policy Shocks on Stock Prices: Evidence from Canada and the United States," Department of Economics at Dalhousie University working papers archive stock_money19.pdf, Dalhousie, Department of Economics.
  3. Schmitt-Grohe, Stephanie, 1998. "The international transmission of economic fluctuations:: Effects of U.S. business cycles on the Canadian economy," Journal of International Economics, Elsevier, vol. 44(2), pages 257-287, April.

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