General-to-Specific Procedures for Fitting a Data-Admissible, Theory-Inspired, Congruent, Parsimonious, Encompassing, Weakly-Exogenous, Identified, Structural Model to the Dgp: A Translation and Critique

Posted: 1 Apr 1997

See all articles by Jon Faust

Jon Faust

Board of Governors of the Federal Reserve System

Charles H. Whiteman

Pennsylvania State University - Smeal College of Business

Date Written: March 1997

Abstract

We characterize the LSE approach by its implications for reduced-form modeling and structural interpretations. Much of what has come to be associated with the LSE methodology involves the approach to fitting reduced forms samples plagued by serial correlation. The policy analysis one might be able to do with an "LSE model," on the other hand, hinges on structural identification arguments which do not meet the classic Cowles Commission standards, and is thus suspect.

JEL Classification: C22, C52

Suggested Citation

Faust, Jon and Whiteman, Charles H., General-to-Specific Procedures for Fitting a Data-Admissible, Theory-Inspired, Congruent, Parsimonious, Encompassing, Weakly-Exogenous, Identified, Structural Model to the Dgp: A Translation and Critique (March 1997). Available at SSRN: https://ssrn.com/abstract=4786

Jon Faust (Contact Author)

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
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202-452-2328 (Phone)
202-736-5638 (Fax)

Charles H. Whiteman

Pennsylvania State University - Smeal College of Business

University Park, PA 16802
United States
814-863-0448 (Phone)

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