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A direct approach to Kilian–Lewis style counterfactual analysis in vector autoregression models

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  • Shiu‐Sheng Chen

Abstract

This paper proposes a direct approach to Kilian–Lewis style counterfactual analysis in structural vector autoregression models. The proposed approach is easy to implement, and the procedure of counterfactual construction is more transparent than the indirect approach. Practitioners conducting Kilian–Lewis style counterfactual analysis should find the proposed approach novel and useful.

Suggested Citation

  • Shiu‐Sheng Chen, 2023. "A direct approach to Kilian–Lewis style counterfactual analysis in vector autoregression models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(7), pages 1068-1076, November.
    • Handle: RePEc:wly:japmet:v:38:y:2023:i:7:p:1068-1076
    DOI: 10.1002/jae.2996
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    References listed on IDEAS

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