From a var model to a structural model, with an application to the wage-price spiral

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.