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A Long run structural macroeconometric model of the UK

Listed author(s):
  • Anthony Garratt
  • Kevin Lee
  • M. Hashem Pesaran
  • Yongcheol Shin

A new modelling strategy that provides a practical approach to incorporating long-run structural relationships, suggested by economic theory, in an otherwise unrestricted VAR model is applied to construct a small quarterly macroeconometric model of the UK, estimated over 1965q1-1999q4 in nine variables: domestic and foreign outputs, prices and interest rates, oil prices, the nominal effective exchange rate, and real money balances. The aim is to develop a model with a transparent and theoretically coherent foundation. Tests of restrictions on the long-run relations of the model are presented. The dynamic properties of the model are discussed and monetary policy shocks identified. Copyright 2003 Royal Economic Society.

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Article provided by Royal Economic Society in its journal The Economic Journal.

Volume (Year): 113 (2003)
Issue (Month): 487 (04)
Pages: 412-455

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Handle: RePEc:ecj:econjl:v:113:y:2003:i:487:p:412-455
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