EconPapers    
Economics at your fingertips  
 

Structural Change and Small-Sample Inference in a Long-Run Structural Var Model of UK Aggregate Demand

Dimitrios Papaikonomou
Additional contact information
Dimitrios Papaikonomou: Economics Department, University of Leicester

Authors registered in the RePEc Author Service: Dimitrios Papaoikonomou ()

Ekonomia, 2003, vol. 6, issue 2, 210-236

Abstract: UK aggregate demand is modelled over the period 1965q1-1998q2 within a long-run structural VAR of the following variables: domestic and foreign output, domestic and foreign short-term interest rate, domestic long-term interest rate, the real effective exchange rate and real money balances. The long-run structure imposed on the cointegrating matrix is derived from a simple IS-LM-BP view of aggregate demand. The validity of this structure is tested taking into account the possible presence of structural breaks associated with changes in the exchange rate regime. This involves two innovations: First, small-sample distributions of the relevant test statistics have been simulated using bootstrap techniques; second, convergence problems typically encountered when bootstrapping the tests of over-identification of the cointegrating matrix have been overcome. Having accounted for sample size, there appears to be no evidence with which to reject the structure imposed by the IS-LM-BP theory and the presence of structural change.

JEL-codes: C32 C52 E10 (search for similar items in EconPapers)
Date: 2003
References: Add references at CitEc
Citations: Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ekn:ekonom:v:6:y:2003:i:2:p:210-236

Access Statistics for this article

More articles in Ekonomia from Cyprus Economic Society and University of Cyprus Contact information at EDIRC.
Bibliographic data for series maintained by Managing Editor ( this e-mail address is bad, please contact ).

 
Page updated 2022-12-22
Handle: RePEc:ekn:ekonom:v:6:y:2003:i:2:p:210-236