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From a VAR Model to a Structural Model, with an Application to the Wage-Price Spiral

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  • Monfort, A
  • Rabemananjara, R

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. Copyright 1990 by John Wiley & Sons, Ltd.

Suggested Citation

  • Monfort, A & Rabemananjara, R, 1990. "From a VAR Model to a Structural Model, with an Application to the Wage-Price Spiral," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 5(3), pages 203-227, July-Sept.
    • Handle: RePEc:jae:japmet:v:5:y:1990:i:3:p:203-27
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    Cited by:

    1. Pierre-André Chiappori & Bernard Salanié & Yoram Weiss, 2017. "Partner Choice, Investment in Children, and the Marital College Premium," American Economic Review, American Economic Association, vol. 107(8), pages 2109-2167, August.
    2. Urbain, Jean-Pierre, 1995. "Partial versus full system modelling of cointegrated systems an empirical illustration," Journal of Econometrics, Elsevier, vol. 69(1), pages 177-210, September.
    3. Rickman, Dan S., 1995. "A bayesian analysis of the use of pooled coefficients in a structural regional economic model," International Journal of Forecasting, Elsevier, vol. 11(3), pages 477-490, September.

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