Comparing SVARs and SEMs: Two models of the UK economy

J. P. A. M. Jacobs, K. F. Wallis

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9 Citations (Scopus)

Abstract

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 long-run structural VAR model of Garratt, Lee, Pesaran and Shin and the COMPACT model. Various styles of impulse response analysis are also compared and contrasted, and used to illustrate model properties. A 'reverse engineering' procedure is used to infer long-run relations of COMPACT comparable to the GLPS cointegrating relations. Copyright (c) 2005 John Wiley T Sons, Ltd.

Original languageEnglish
Pages (from-to)209-228
Number of pages20
JournalJournal of Applied Econometrics
Volume20
Issue number2
DOIs
Publication statusPublished - 2005
EventConference on the Wealth of Nations, Extending the tinbergen Heritage - , Netherlands
Duration: 1-Apr-2003 → …

Keywords

  • IMPULSE-RESPONSE ANALYSIS
  • MACROECONOMETRIC MODEL
  • MULTIVARIATE MODELS
  • CRITIQUE
  • TRENDS
  • POLICY

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