Structural Analysis of Cointegrating VARs
This survey uses a number of recent developments in the analysis of cointegrating Vector Autoregressions (VAR) to examine the links to the older structural modelling traditions using Autoregressive Distributed Lag (ARDL) and Simultaneous Equations Models (SEM). In particular, it emphasises the importance of using judgement and economic theory to supplement the statistical information. After a brief historical review, it sets out the statistical framework, starting from the structural vector ARDL model, and discusses the large number of choices applied workers have to make in determining a specification. It considers one choice, the size of the VAR, in more detail and examines the advantages of the use of exogenous variables. The issues are illustrated with a small US macroeconomic model.
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
When requesting a correction, please mention this item's handle: RePEc:cam:camdae:9811. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jake Dyer)
If references are entirely missing, you can add them using this form.