Comparing SVARs and SEMs: two models of the UK economy
Copyright policy )Comparing SVARs and SEMs: two models of the UK economy
AbstractThe structural vector autoregression (SVAR) and simultaneous equation macroeconometric model (SEM) styles of empirical macroeconomic modelling are compared and contrasted, with reference to two models of the UK economy, namely the long‐run structural VAR model of Garratt, Lee, Pesaran and Shin and the COMPACT model. Various styles of impulse response analysis are also compared and contrasted, and used to illustrate model properties. A ‘reverse engineering’ procedure is used to infer long‐run relations of COMPACT comparable to the GLPS cointegrating relations. Copyright © 2005 John Wiley & Sons, Ltd.
- University of Warwick United Kingdom
- University of Groningen Netherlands
IMPULSE-RESPONSE ANALYSIS, CRITIQUE, MACROECONOMETRIC MODEL, MULTIVARIATE MODELS, POLICY, TRENDS
IMPULSE-RESPONSE ANALYSIS, CRITIQUE, MACROECONOMETRIC MODEL, MULTIVARIATE MODELS, POLICY, TRENDS
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