A long run structural macroeconometric model of the UK (first version)

Anthony Garratt (), Kevin Lee and Yongcheol Shin
Authors registered in the RePEc Author Service: Mohammad Hashem Pesaran

Edinburgh School of Economics Discussion Paper Series from Edinburgh School of Economics, University of Edinburgh

Abstract: A new modelling strategy is introduced which provides a practical approach to incorporating long-run structural relationships, suggested by economic theory, in an otherwise unrestricted VAR model. The strategy is applied in the construction of a small quarterly macroeconometric model of the UK, estimated over the period 1965-1995 in eight core variables: domestic and foreign outputs, domestic and foreign prices (both measured relative to oil prices), the nominal effective exchange rate, nominal domestic and foreign interest rates and real money balances. The aim is to develop a core model with a transparent and theoretically coherent foundation. Tests of restrictions on the long-run relations of the model are presented and the dynamic properties of the model are discussed.

Keywords: long-run structural VAR; a core UK model; macroeconomic modelling; persistence profiles (search for similar items in EconPapers)
JEL-codes: C32 E24 (search for similar items in EconPapers)
Pages: 39
Date: 1999-10
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:edn:esedps:17

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