From a var model to a structural model, with an application to the wage–price spiral
从 VAR 模型到结构模型:工资—价格螺旋的应用
Abstract In this paper a VAR model is considered as a general framework in which a structural model can be tested. We carefully describe the hypotheses defining a structural model; this leads us to discuss various notions such as: predeterminedness, non‐causality, exogeneity, contemporaneous identification, overall identification, weak and strong structural forms. Then we propose a test procedure, based on the asymptotic least‐squares method, which allows successive testing…