A long-run structural model of the UK

Anthony Garratt · Kevin C. Lee · M. Hashem Pesaran · Yongcheol Shin

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Monetary Policy and Economic Impact Economic Theory and Policy Forecasting Techniques and Applications

Abstract

Abstract This chapter describes the empirical work underlying the construction of the UK model, discusses the results obtained from testing its long-run properties, and compares the model with benchmark univariate models of the variables. The description of the modelling work not only provides one of the first examples of the use of the long-run structural cointegrating VAR techniques in an applied context, but it also includes a discussion of bootstrap experiments designed to investigate the small-sample properties of the tests employed.

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1988Testing for a Unit Root in Time Series Regression 1988Statistical analysis of cointegration vectors 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1980Macroeconomics and Reality 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root

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2006Inflation, relative price variability and the markup: Evidence from the United States and the United Kingdom

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