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Structural VAR, MARMA and Open Economy Models

Phoebus J. Dhrymes; Dimitrios D. Thomakos

Title:
Structural VAR, MARMA and Open Economy Models
Author(s):
Dhrymes, Phoebus J.
Thomakos, Dimitrios D.
Date:
Type:
Working papers
Department:
Economics
Permanent URL:
Series:
Department of Economics Discussion Papers
Part Number:
9798-07
Publisher:
Department of Economics, Columbia University
Publisher Location:
New York
Abstract:
The objective of this paper is to examine the recent literature on the standard open economy macro paradigm. Since there are many aspects to this literature, we concentrate on issues regarding the nature of restrictions imposed in order to gain identification, the general problem of identification in the context of the standard structural VAR (SVAR) or structural MARMA (SMARMA) model1 employed for that purpose, the question of whether "forward" looking (rational) expectations (FLE) are more in accord with the empirical evidence than the standard "backward" looking (rational) expectational (BLE) schemes and, finally, whether the results one obtains are invariant to the choice of model specification as SVAR or SMARMA.
Subject(s):
Economic theory
Item views:
192
Metadata:
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