Comparing SVARs and SEMs: Two models of the UK economy

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

Onderzoeksoutput: ArticleAcademicpeer review

9 Citaten (Scopus)


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.

Originele taal-2English
Pagina's (van-tot)209-228
Aantal pagina's20
TijdschriftJournal of Applied Econometrics
Nummer van het tijdschrift2
StatusPublished - 2005
EvenementConference on the Wealth of Nations, Extending the tinbergen Heritage - , Netherlands
Duur: 1-apr.-2003 → …

Citeer dit