STRUCTURAL VAR, MARMA AND OPEN-ECONOMY MODELS

In this paper we examine a number of issues in the context of structur al VAR and MARMA open economy macro models. In particular, we examine whether VAR or MARMA is the more appropriate specification; whether ex pectations are forward or backward looking, and whether a number of re strictions imposed on such models are supported by empirical evidence. Prior restrictions are imposed by means of Lagrange multipliers, whic h makes many of the tests noted above routine. (C) 1998 Elsevier Scien ce B.V.