A structural cointegrating VAR approach to macroeconometric modelling

Anthony Garratt (), Kevin Lee (), Mohammad Pesaran and Yongcheol Shin ()
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Yongcheol Shin: https://www.york.ac.uk/economics/our-people/staff-profiles/yongcheol-shin/

Edinburgh School of Economics Discussion Paper Series from Edinburgh School of Economics, University of Edinburgh

Abstract: In this paper we discuss the 'structural cointegrating VAR' approach to macroeconometric modelling and compare it to other approaches currently followed in the literature, namely the large-scale simultaneous equation macroeconometric models, the structural VARs, and the dynamic stochastic general equilibrium models. The structural cointegrating VAR approach has the attractive features that the estimated long-run relationships embedded in the model are theory consistent, and have a clear economic interpretation, and yet the short-run dynamics are flexibly estimated within a VAR framework. The approach is illustrated using a small quarterly macroeconometric model of the UK. The uses of the model in impulse response analysis and probability forecasting is also discussed.

Keywords: structural cointegrating VAR; macroeconomic modelling; generalised impulse responses; persistence profiles; probability forecasts (search for similar items in EconPapers)
JEL-codes: C32 C5 E17 (search for similar items in EconPapers)
Pages: 32
Date: 1998-10
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
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Citations: View citations in EconPapers (10)

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Related works:
Working Paper: A Structural Cointegrating VAR Approach to Macroeconometric Modelling (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:edn:esedps:8

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