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Comparing SVARs and SEMs: two models of the UK economy

✍ Scribed by Jan P. A. M. Jacobs; Kenneth F. Wallis

Publisher: John Wiley and Sons
Year: 2005
Tongue: English
Weight: 173 KB
Volume: 20
Category: Article
ISSN: 0883-7252
DOI: 10.1002/jae.839

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✦ Synopsis

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 © 2005 John Wiley & Sons, Ltd.

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