From a var model to a structural model, with an application to the wage–price spiral

Abstract

Abstract In this paper a VAR model is considered as a general framework in which a structural model can be tested. We carefully describe the hypotheses defining a structural model; this leads us to discuss various notions such as: predeterminedness, non‐causality, exogeneity, contemporaneous identification, overall identification, weak and strong structural forms. Then we propose a test procedure, based on the asymptotic least‐squares method, which allows successive testing of each aspect of a structural model. This procedure is applied to the wage–price spiral.

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