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 language | English (US) |
|---|---|
| Pages (from-to) | 1082-1104 |
| Number of pages | 23 |
| Journal | Scandinavian Journal of Economics |
| Volume | 114 |
| Issue number | 4 |
| DOIs | |
| State | Published - Dec 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