From a VAR Model to a Structural Model, with an Application to the Wage-Price Spiral

Alain Monfort and R Rabemananjara

Journal of Applied Econometrics, 1990, vol. 5, issue 3, 203-27

Abstract: In this paper a VAR model is considered as a general framework in which a structural model can be tested. We carefully describe the hypotheses defining a structural model; this leads us to discuss various notions such as: predeterminedness, non-causality, exogeneity, contemporaneous identification, overall identification, weak and strong structural forms, Then we propose a test procedure, based on the asymptotic least-squares method, which allows successive testing of each aspect of a structural model. This procedure is applied to the wage price spiral. Copyright 1990 by John Wiley & Sons, Ltd.

Date: 1990
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