A Structural Cointegrating VAR Approach to Macroeconometric Modelling

Anthony Garratt (), Kevin Lee, Mohammad Pesaran and Yongcheol Shin

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

Abstract: This paper discusses the ?structural cointegrating VAR? approach to macroeconometric modelling and compares it to other approaches currently followed in the literature, namely, the large-scale simultaneous equation macroeconometric models, the structural VARs, and the dynamic stochastic general equilibrium models. The structural co- integrating VAR approach has the attractive features that the estimated long-run relationships embedded in the model are theory consistent, and have a clear economic interpretation, and yet the short-run dynamics are flexibly estimated within a VAR framework. The approach is illustrated using a small quarterly macroeconomic model of the UK, and its use in impulse response analysis and probability forcasting is discussed.

Keywords: Structural cointegrating VAR; Macroeconomic modelling; Generalised impulse responses; Persistence profiles; Probability forecasts (search for similar items in EconPapers)
JEL-codes: C32 C5 E17 (search for similar items in EconPapers)
Date: 1998-11
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Citations: View citations in EconPapers (21)

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Working Paper: A structural cointegrating VAR approach to macroeconometric modelling (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:cam:camdae:9823

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