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A Long-run Structural Macro-econometric Model of the UK

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Abstract

A small quarterly macroeconometric model of the UK is estimated over the period 1965Q1 to 1995Q4 in eight core variables: domestic and foreign outputs, domestic and foreign prices (both measured relative to oil prices), the nominal effective exchange rate, nominal domestic and foreign interest rates and real money balances. The model is based on long-run relations from economic theory embodied in an otherwise unrestricted VAR framework. A main aim is to develop a core model with a trans-parent and theoretically coherent foundation. Tests of restrictions on the long-run relations of the model are presented. The dynamic properties of the model are illustrated through the use of persistence profiles and generalised impulse responses, which are invariant to the ordering of the variables in the VAR.

Suggested Citation

  • Garratt, A. & Lee, K. & Pesaran, M. H. & Shin, Y., 1998. "A Long-run Structural Macro-econometric Model of the UK," Cambridge Working Papers in Economics 9812, Faculty of Economics, University of Cambridge.
    • Handle: RePEc:cam:camdae:9812
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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity

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