A Long run structural macroeconometric model of the UK
Anthony Garratt (),
Kevin Lee (),
M Pesaran () and
Yongcheol Shin ()
Economic Journal, 2003, vol. 113, issue 487, 412-455
A new modelling strategy that provides a practical approach to incorporating long-run structural relationships, suggested by economic theory, in an otherwise unrestricted VAR model is applied to construct a small quarterly macroeconometric model of the UK, estimated over 1965q1-1999q4 in nine variables: domestic and foreign outputs, prices and interest rates, oil prices, the nominal effective exchange rate, and real money balances. The aim is to develop a model with a transparent and theoretically coherent foundation. Tests of restrictions on the long-run relations of the model are presented. The dynamic properties of the model are discussed and monetary policy shocks identified. Copyright 2003 Royal Economic Society.
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Working Paper: A long run structural macroeconometric model of the UK (2001)
Working Paper: A Long-run Structural Macro-econometric Model of the UK (1998)
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