Title: Introducing VAR and SVAR predictions in system dynamics models

Authors: Pablo Alvarez-De-Toledo, Adolfo Crespo Marquez, Fernando Nunez, Carlos Usabiaga

Addresses: Department of Industrial Organisation and Business Management, School of Engineering, University of Seville, Camino de los Descubrimientos s/n, 41092 Sevilla, Spain. ' Department of Industrial Organisation and Business Management, School of Engineering, University of Seville, Camino de los Descubrimientos s/n, 41092 Sevilla, Spain. ' Department of Industrial Organisation and Business Management, School of Engineering, University of Seville, Camino de los Descubrimientos s/n, 41092 Sevilla, Spain. ' Department of Economics, Pablo de Olavide University, Carretera de Utrera, Km. 1, 41013 Sevilla, Spain

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.

Keywords: econometrics; system dynamics; VAR; structural vector autoregressive models; SVAR; forecasting; impulse–response functions; variance decomposition; Spanish labour market; unemployment; vacancies; Spain.

DOI: 10.1504/IJSPM.2008.020609

International Journal of Simulation and Process Modelling, 2008 Vol.4 No.1, pp.7 - 17

Published online: 03 Oct 2008 *

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