Discussion Papers no. 562
A viable road for data to inform structural modeling
Classical identification
This paper addresses how to enhance the role of data in structural model design by utilizing structural breaks and superfluous information as auxiliary tools of exact identification. To illustrate the procedure and to study the simultaneous interplay between financial variables and the real side of the economy a simultaneous equation model is constructed on Norwegian aggregate data. In this model, while innovations to stock prices and credit do cause short run movements in real activity, such innovations do not precede real economy movements in the long run.
Om publikasjonen
- Tittel
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Classical identification. A viable road for data to inform structural modeling
- Ansvarlig
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Roger Hammersland
- Serie og -nummer
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Discussion Papers no. 562
- Utgiver
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Statistics Norway
- Emne
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Discussion Papers
- Antall sider
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20
- Målform
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Engelsk
- Om Discussion Papers
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Discussion papers comprise research papers intended for international journals and books. A preprint of a Discussion Paper may be longer and more elaborate than a standard journal article as it may include intermediate calculations, background material etc.
Kontakt
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