A Long-run Structural Macro-econometric Model of the UK

Anthony Garratt (anthony.garratt@wbs.ac.uk), Kevin Lee (kevin.lee@nottingham.ac.uk), Mohammad Pesaran and Yongcheol Shin

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

Abstract: A small quarterly macroeconometric model of the UK is estimated over the period 1965Q1 to 1995Q4 in eight core variables: domestic and foreign outputs, domestic and foreign prices (both measured relative to oil prices), the nominal effective exchange rate, nominal domestic and foreign interest rates and real money balances. The model is based on long-run relations from economic theory embodied in an otherwise unrestricted VAR framework. A main aim is to develop a core model with a trans-parent and theoretically coherent foundation. Tests of restrictions on the long-run relations of the model are presented. The dynamic properties of the model are illustrated through the use of persistence profiles and generalised impulse responses, which are invariant to the ordering of the variables in the VAR.

Date: 1998
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Citations: View citations in EconPapers (10)

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Related works:
Journal Article: A Long run structural macroeconometric model of the UK (2003)
Working Paper: A long run structural macroeconometric model of the UK (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:cam:camdae:9812

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