Abstract
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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Chen, P., Frohn, J. (2006). On the Specification and Estimation of Large Scale Simultaneous Structural Models. In: Hübler, O., Frohn, J. (eds) Modern Econometric Analysis. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-32693-6_2
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DOI: https://doi.org/10.1007/3-540-32693-6_2
Publisher Name: Springer, Berlin, Heidelberg
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