Economics at your fingertips  

A Comparison of the Stochastic Processes of Structural and

Francis Ahking () and Stephen Miller

The Review of Economics and Statistics, 1987, vol. 69, issue 3, 496-502

Abstract: Arnold Zellner and Franz Palm (1974) show that comparing the actual with the implied stochastic process es generating the endogenous variables in a system of dynamic structu ral equations provides important information about the system's corre ct specification. The authors apply their methodology to structural e xchange-rate models. They find that the log of the bilateral exchange rate is generally well approximated by a random-walk model. Thus, th e stochastic processes generating the exogenous variables should also be random-walk models, which in not borne out by our empirical resul ts. They suggest a reconciliation of their results based on a decompo sition technique developed by Stephen Beveridge and Charles R. Nelson (1981). Copyright 1987 by MIT Press.

Date: 1987
References: Add references at CitEc
Citations: View citations in EconPapers (11) Track citations by RSS feed

Downloads: (external link) ... O%3B2-D&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See for details.

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:

Ordering information: This journal article can be ordered from
https://mitpressjour ... rnal/?issn=0034-6535

Access Statistics for this article

The Review of Economics and Statistics is currently edited by Pierre Azoulay, Olivier Coibion, Will Dobbie, Raymond Fisman, Benjamin R. Handel, Brian A. Jacob, Kareen Rozen, Xiaoxia Shi, Tavneet Suri and Yi Xu

More articles in The Review of Economics and Statistics from MIT Press
Bibliographic data for series maintained by Kelly McDougall ().

Page updated 2023-11-11
Handle: RePEc:tpr:restat:v:69:y:1987:i:3:p:496-502