Introducing VAR and SVAR predictions in system dynamics models. (6th October 2008)

• Record Type: Journal Article
• Authors: Alvarez-De-Toledo, Pablo; Crespo Marquez, Adolfo; Nunez, Fernando; Usabiaga, Carlos
• Is Part Of: International journal of simulation and process modelling. Volume 4:Number 1(2008)
• Page Start: 7
• Page End: 17
• Publication Date: 2008-10-06
• Subjects: econometrics -- system dynamics -- VAR -- structural vector autoregressive models -- SVAR -- forecasting -- impulse?response functions -- variance decomposition -- Spanish labour market -- unemployment -- vacancies -- Spain; Management -- Computer simulation -- Periodicals; Mathematical models -- Periodicals; Operations research -- Periodicals; Simulation methods -- Periodicals; 003.05
• Languages: English
• ISSNs: 1740-2123

Abstract

Vector Autoregressive (VAR) and Structural Vector Autoregressive (SVAR) models may be described as those models that explain, at least partially, the values of a set of variables, based on the past values of this set of variables. During recent decades, these models have increased their importance in the field of economic analysis. In this work, we offer an approximation between these econometric techniques and the methodology of system dynamics. We show that by using usual elements in the models of system dynamics we can carry out the simulation of an SVAR model. We present an application to the Spanish labour market.