Empirical analysis of macroeconomic time series

摘要: Abstract VAR and structural econometric models have complementary roles in the modelling of macroeconomic time series. A constant parameter VAR, provided it is statistically well specified, constitutes a valid basis for testing hypotheses dynamic specification, exogeneity, priori structure, thus facilitating model evaluation, as suggesting potentially efficient development strategy. Deterministic (e.g. trends regime shifts) stochastic integrated variables) non-stationarities are analysable within this framework, Johansen maximum likelihood procedure cointegrated systems used an analysis determination earnings, prices, productivity, unemployment U.K.