TY - UNPB
T1 - Comparing SVARs and SEMs
T2 - more shocking stories
AU - Jacobs, Jan
AU - Wallis, Kenneth F.
N1 - Relation: http://som.rug.nl/
date_submitted:2002
Rights: Graduate School/Research Institute, Systems, Organisations and Management (SOM)
PY - 2002
Y1 - 2002
N2 - The structural vector autoregression (SVAR) and simultaneous equation macroeconometric
model (SEM) styles of empirical macroeconomic modelling are compared
and contrasted, with reference to two models of the UK economy, namely
the Cambridge long-run structural VAR model and the COMPACT model. Various
styles of impulse response analysis are also compared and contrasted, and used
to illustrate model properties. The subtitle is a reference to the article ”Shocking
stories” by Levtchenkova, Pagan and Robertson; in particular, their ”reverse engineering”
procedure is used to infer long-run relations of COMPACT comparable
to the CSVAR cointegrating relations.
Keywords: cointegration, impulse response analysis, macroeconometric modelling,
simultaneous equation models, structural VAR models, model comparisons
JEL-code: C51, C52
AB - The structural vector autoregression (SVAR) and simultaneous equation macroeconometric
model (SEM) styles of empirical macroeconomic modelling are compared
and contrasted, with reference to two models of the UK economy, namely
the Cambridge long-run structural VAR model and the COMPACT model. Various
styles of impulse response analysis are also compared and contrasted, and used
to illustrate model properties. The subtitle is a reference to the article ”Shocking
stories” by Levtchenkova, Pagan and Robertson; in particular, their ”reverse engineering”
procedure is used to infer long-run relations of COMPACT comparable
to the CSVAR cointegrating relations.
Keywords: cointegration, impulse response analysis, macroeconometric modelling,
simultaneous equation models, structural VAR models, model comparisons
JEL-code: C51, C52
M3 - Working paper
BT - Comparing SVARs and SEMs
PB - s.n.
ER -