A structural cointegrating VAR approach to macroeconometric modelling

Anthony Garratt (), Kevin Lee (), Mohammad Pesaran and 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
References: View references in EconPapers View complete reference list from CitEc
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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