Structural VAR, Marma and Open Economy Models

Columbia University Econ Dept Discussion Paper No. 9798-07

28 Pages Posted: 28 Oct 1998

See all articles by Phoebus J. Dhrymes

Phoebus J. Dhrymes

Columbia University, Graduate School of Arts and Sciences, Department of Economics

Thomakos D. Dimitrios

Florida International University (FIU) - Department of Economics; University of Peloponnese

Date Written: November 1997

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) model employed for that purpose, the question of whether "forward" looking (rational) expectations (FLE) are more in accord with 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.

JEL Classification: C4

Suggested Citation

Dhrymes, Phoebus J. and Dimitrios, Thomakos D., Structural VAR, Marma and Open Economy Models (November 1997). Columbia University Econ Dept Discussion Paper No. 9798-07, Available at SSRN: https://ssrn.com/abstract=138154 or http://dx.doi.org/10.2139/ssrn.138154

Phoebus J. Dhrymes (Contact Author)

Columbia University, Graduate School of Arts and Sciences, Department of Economics ( email )

420 W. 118th Street
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New York, NY 10027
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212-854-4459 (Phone)
212-854-8059 (Fax)

Thomakos D. Dimitrios

Florida International University (FIU) - Department of Economics ( email )

Miami, FL 33199
United States

University of Peloponnese

Tripolis, 22100
Greece

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