A Long run structural macroeconometric model of the UK
Bibliographic Data
| ID | 9704946 |
|---|---|
| Authors | Anthony Garratt (University of Leicester), Kevin Lee (0000-0001-6334-3383, University of Leicester), M Hashem Pesaran (0000-0001-5936-363X, Trinity College, Cambridge), Yongcheol Shin (0000-0002-8589-9689, University of Edinburgh) |
| Year | 2003 |
| Volume | 113 |
| Issue | 487 |
| Pages | 412-455 |
| Publication date | 2003-04-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | The Economic Journal (JOURNAL) |
| Journal identifiers | ISSN: 0013-0133 • E-ISSN: 1468-0297 |
| Publisher | Oxford University Press (OUP) (PUBLISHER) |
| DOI | 10.1111/1468-0297.00131 |
| OpenAlex | W1582174173 |
| Language | EN |
| Citations received | 7 |
| References cited | 53 |
A new modelling strategy that provides a practical approach to incorporating long-run structural relationships, suggested by economic theory, in an otherwise unrestricted VAR model is applied to construct a small quarterly macroeconometric model of the UK, estimated over 1965q1-1999q4 in nine variables: domestic and foreign outputs, prices and interest rates, oil prices, the nominal effective exchange rate, and real money balances. The aim is to develop a model with a transparent and theoretically coherent foundation. Tests of restrictions on the long-run relations of the model are presented. The dynamic properties of the model are discussed and monetary policy shocks identified. Copyright 2003 Royal Economic Society
Econometric model · Econometrics · Economics · Exchange rate · Foreign exchange · Impulse response · Macro · Macroeconomics · Monetary economics · Vector autoregression · Computer Science · Economic Theory and Policy · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact
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| Unique citing works | 7 |
|---|---|
| Citations per year | 0,26 |
| Citation span | 1999 - 2020 (22) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 7 |