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A Macroeconomic Rationing Model Estimated by Cointegration Techniques and Generalized Method of Moments

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  • : Eskil Heinesen

    (Institute of Economics, University of Copenhagen)

Abstract

A macroeconomic rationing model based on nested CES transaction functions for the goods and labor markets is presented. The model is estimated on quarterly data for the Danish private non-agricultural sector, using regime proportion indicators based on business survey information. The focus of the paper is on the method of estimation, which is a two-step procedure. To take account of the fact that some of the variables of the model are integrated of order one, the corresponding parameters are estimated by cointegration techniques (the Johansen method) in the first step. In the second step the other parameters of the model are estimated simultaneously by GMM. It is argued that this two-step estimation procedure is consistent. Finally, the estimation results are used to cast some light on the rise in Danish unemployment in the period 1971-90.

Suggested Citation

  • : Eskil Heinesen, 1993. "A Macroeconomic Rationing Model Estimated by Cointegration Techniques and Generalized Method of Moments," Discussion Papers 93-10, University of Copenhagen. Department of Economics.
    • Handle: RePEc:kud:kuiedp:9310
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    2. M. Shabri Abd. Majid & Ahamed Kameel Mydin Meera & Mohd. Azmi Omar & Hassanuddeen Abdul Aziz, 2009. "Dynamic linkages among ASEAN‐5 emerging stock markets," International Journal of Emerging Markets, Emerald Group Publishing Limited, vol. 4(2), pages 160-184, April.

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    JEL classification:

    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications

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