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From a var model to a structural model, with an application to the wage–price spiral
Author(s) -
Monfort A.,
Rabemananjara R.
Publication year - 1990
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.3950050302
Subject(s) - endogeneity , econometrics , identification (biology) , wage , economics , causality (physics) , least squares function approximation , spiral (railway) , computer science , mathematics , statistics , market economy , mathematical analysis , botany , physics , quantum mechanics , estimator , biology
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.