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The effect of long-run identification on impulse-response functions: An application to the relationship between macroeconomics and agriculture in Tunisia

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  • Ben Kaabia, Monia
  • Gil, Jose Maria
  • Chebbi, Houssem Eddine

Abstract

The objective of this paper is to analyse some of the most relevant relationships among macroeconomic variables and the agricultural sector in Tunisia. Three alternative models are specified and estimated: a VAR in levels, an unrestricted Vector Error Correction Model (VECM), and a Restricted VECM in which long-run relationships among the relevant variables are identified. In all models short-run dynamics are analysed through the use of Generalised Impulse Response Functions. Results indicate that alternative model specifications generate different short-run dynamics. Long-run identification seems to be a necessary condition for obtaining consistent economic results.

Suggested Citation

  • Ben Kaabia, Monia & Gil, Jose Maria & Chebbi, Houssem Eddine, 2002. "The effect of long-run identification on impulse-response functions: An application to the relationship between macroeconomics and agriculture in Tunisia," Agricultural Economics Review, Greek Association of Agricultural Economists, vol. 3(2), pages 1-13, August.
  • Handle: RePEc:ags:aergaa:26459
    DOI: 10.22004/ag.econ.26459
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    File URL: https://ageconsearch.umn.edu/record/26459/files/03020036.pdf
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    References listed on IDEAS

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    1. Bessler, David A & Babula, Ronald A, 1987. "Forecasting Wheat Exports: Do Exchange Rates Matter?," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(3), pages 397-406, July.
    2. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
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    Cited by:

    1. Bentivoglio, D. & Bucci, G. & Finco, A., 2018. "Factor affecting the palm oil boom in Indonesia: a time series analysis," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277129, International Association of Agricultural Economists.
    2. Rezitis, A.N. & Ahammad, S.M., 2015. "Investigating Agricultural Production Relations across Bangladesh, India and Pakistan Using Vector Error Correction and Markov-Switching Models," Agricultural Economics Research Review, Agricultural Economics Research Association (India), vol. 28(1).
    3. Aliaa Nabil Khodeir, 2015. "Migration Remittances Inflows and Macroeconomic Shocks: The Case of Egypt," International Journal of Economics and Financial Issues, Econjournals, vol. 5(4), pages 1001-1010.

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    Agricultural and Food Policy;

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