EconPapers    
Economics at your fingertips  
 

Structural Error Correction Models: Instrumental Variables Methods and an application to an exchange rate model

Jaebeom Kim, Masao Ogaki and Minseok Yang
Additional contact information
Minseok Yang: Seoul Cyber University

No 502, RCER Working Papers from University of Rochester - Center for Economic Research (RCER)

Abstract: Error correction models are widely used to estimate dynamic cointegrated systems. In most applications error correction models are reduced form models. As a result, non-structural speed of adjustment coefficients are estimated in these applications. A single equation instrumental variable method can be used to estimate a structural speed of adjustment coefficient. This paper develops a system instrumental variable method to estimate the structural speed of adjustment coefficient in an error correction model. This method utilizes Hansen and Sargent's (1982) instrumental variable estimator for linear rational expectations models, and is applied to an exchange rate model with sticky prices.

Pages: 24 pages
Date: 2003-10
New Economics Papers: this item is included in nep-ecm and nep-ifn
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link)
http://rcer.econ.rochester.edu/RCERPAPERS/rcer_502.pdf full text (application/pdf)
None

Related works:
Working Paper: Structural Error Correction Models: Instrumental Variables Methods and Application to an Exchange Rate Model (2001) Downloads
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:roc:rocher:502

Access Statistics for this paper

More papers in RCER Working Papers from University of Rochester - Center for Economic Research (RCER) University of Rochester, Center for Economic Research, Department of Economics, Harkness 231 Rochester, New York 14627 U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by Richard DiSalvo ().

 
Page updated 2020-03-31
Handle: RePEc:roc:rocher:502