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A Macroeconomic Rationing Model Estimated by Cointegration Techniques and Generalized Method of Moments

Author

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  • : Eskil Heinesen

    (Institute of Economics, University of Copenhagen)

Abstract

A macroeconomic rationing model based on nested CES transaction functions for the goods and labor markets is presented. The model is estimated on quarterly data for the Danish private non-agricultural sector, using regime proportion indicators based on business survey information. The focus of the paper is on the method of estimation, which is a two-step procedure. To take account of the fact that some of the variables of the model are integrated of order one, the corresponding parameters are estimated by cointegration techniques (the Johansen method) in the first step. In the second step the other parameters of the model are estimated simultaneously by GMM. It is argued that this two-step estimation procedure is consistent. Finally, the estimation results are used to cast some light on the rise in Danish unemployment in the period 1971-90.

Suggested Citation

  • : Eskil Heinesen, 1993. "A Macroeconomic Rationing Model Estimated by Cointegration Techniques and Generalized Method of Moments," Discussion Papers 93-10, University of Copenhagen. Department of Economics.
    • Handle: RePEc:kud:kuiedp:9310
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    References listed on IDEAS

    as
    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    2. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    3. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-858, May.
    4. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    5. Henrik Hansen & Søren Johansen, 1992. "Recursive Estimation in Cointegrated VAR-Models," Discussion Papers 92-13, University of Copenhagen. Department of Economics.
    6. Fase, M. M. G. & Kramer, P. & Boeschoten, W. C., 1992. "MORKMON II : The Nederlandsche Bank's quarterly model of the Netherlands economy," Economic Modelling, Elsevier, vol. 9(2), pages 146-204, April.
    7. Eskil Heinesen, 1992. "CES Transaction Functions in Macroeconomic Rationing Models," Discussion Papers 92-07, University of Copenhagen. Department of Economics.
    8. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
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    12. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    13. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    14. MEERSMAN, Hilde, 1988. "Employment and commodity demand in Belgian manufacturing, textiles, iron and steel, and chemicals: A disequilibrium model with endogenous wages," SESO Working Papers 1988003, University of Antwerp, Faculty of Business and Economics.
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    16. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
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    More about this item

    Keywords

    general aggregative models; general forecasts and models; Denmark;
    All these keywords.

    JEL classification:

    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications

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