Christopher A. Sims and Vector Autoregressions

Lawrence J. Christiano*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

11 Scopus citations

Abstract

Three decades ago, Christopher A. Sims suggested that vector autoregressions (VARs) are useful statistical devices for evaluating alternative macroeconomic models. His suggestion has stood the test of time well. In the early days, VARs played an important role in the evaluation of alternative models. They continue to play that role today.

Original languageEnglish (US)
Pages (from-to)1082-1104
Number of pages23
JournalScandinavian Journal of Economics
Volume114
Issue number4
DOIs
StatePublished - Dec 1 2012

Keywords

  • Bayesian econometrics
  • Dynamic stochastic general equilibrium model
  • Generalized method of moments
  • Granger causality
  • Identification
  • Impulse response function
  • New Keynesian model
  • Nobel laureates
  • Vector autoregression

ASJC Scopus subject areas

  • Economics and Econometrics

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