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On the specification and estimation of large scale simultaneous structural macroeconometric models

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Summary

This paper surveys the state of the art of the analysis and application of large scale structural simultaneous econometric models (SSEM). First, the importance of such models in empirical economics and especially for economic policy analysis is emphasized. We then focus on the methodological issues in the application of these models like questions about identification, nonstationarity of variables, adequate estimation of the parameters, and the inclusion of identities.

In the light of the latest development in econometrics, we identify the main unsolved problems in this area, recommend a combined data-theory-driven procedure for the specification of such models, and give suggestions how one could overcome some of the indicated problems.

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Authors and Affiliations

  1. Faculty of Economics, Bielefeld University, PO Box 10 01 31, 33501, Bielefeld, Germany

    Pu Chen

  2. Faculty of Economics, Bielefeld University, PO Box 10 01 31, 33501, Bielefeld, Germany

    Joachim Frohn

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  1. Pu Chen
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  2. Joachim Frohn
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Chen, P., Frohn, J. On the specification and estimation of large scale simultaneous structural macroeconometric models. Allgemeines Statistisches Arch 90, 9–25 (2006). https://doi.org/10.1007/s10182-006-0218-0

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  • DOI: https://doi.org/10.1007/s10182-006-0218-0

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