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

Classical identification. A viable road for data to inform structural modeling

Ansvarlig

Roger Hammersland

Serie og -nummer

Discussion Papers no. 562

Utgiver

Statistics Norway

Emne

Discussion Papers

Antall sider

20

Målform

Engelsk

Om Discussion Papers

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