Structural Analysis of Cointegrating VARs

Mohammad Pesaran and Ronald Smith

Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge

Abstract: This survey uses a number of recent developments in the analysis of cointegrating Vector Autoregressions (VAR) to examine the links to the older structural modelling traditions using Autoregressive Distributed Lag (ARDL) and Simultaneous Equations Models (SEM). In particular, it emphasises the importance of using judgement and economic theory to supplement the statistical information. After a brief historical review, it sets out the statistical framework, starting from the structural vector ARDL model, and discusses the large number of choices applied workers have to make in determining a specification. It considers one choice, the size of the VAR, in more detail and examines the advantages of the use of exogenous variables. The issues are illustrated with a small US macroeconomic model.

Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (193)

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

Related works:
Journal Article: Structural Analysis of Cointegrating VARs (1998)
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:cam:camdae:9811

Access Statistics for this paper

More papers in Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge
Bibliographic data for series maintained by Jake Dyer ().