From a var model to a structural model, with an application to the wage–price spiral
以VAR模型为框架，系统阐述结构模型的假设（如外生性、识别等），并提出基于渐近最小二乘法的逐步检验程序，最后应用于工资-价格螺旋分析。
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 of each aspect of a structural model. This procedure is applied to the wage–price spiral.