VAR Models as Structural Approximations
AbstractThis paper presents a way of estimating how accurate VAR models are likely to be for answering structural questions. Data are generated from a dynamic deterministic solution of a structural model; a VAR model is estimated using a subset of these data; and the properties of the VAR model are compared to the properties of the structural model. This procedure has the advantage of eliminating the effects of error terms, since the data are generated for a deterministic simulation. The results show that the VAR models do not seem to be good structural approximations.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 856R.
Length: 17 pages
Date of creation: 1987
Date of revision: Mar 1989
Contact details of provider:
Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA
Phone: (203) 432-3702
Fax: (203) 432-6167
Web page: http://cowles.econ.yale.edu/
More information through EDIRC
Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
Other versions of this item:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bernanke, Ben S., 1986.
"Alternative explanations of the money-income correlation,"
Carnegie-Rochester Conference Series on Public Policy,
Elsevier, vol. 25(1), pages 49-99, January.
- Ben S. Bernanke, 1986. "Alternative Explanations of the Money-Income Correlation," NBER Working Papers 1842, National Bureau of Economic Research, Inc.
- Robert B. Litterman, 1979. "Techniques of forecasting using vector autoregressions," Working Papers 115, Federal Reserve Bank of Minneapolis.
- Ray C. Fair & Robert J. Shiller, 1987.
"Econometric Modeling as Information Aggregation,"
Cowles Foundation Discussion Papers
833R, Cowles Foundation for Research in Economics, Yale University, revised Jan 1988.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- Christopher A. Sims, 1982. "Policy Analysis with Econometric Models," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 13(1), pages 107-164.
- Fair, Ray C, 1980. "Estimating the Uncertainty of Policy Effects in Nonlinear Models," Econometrica, Econometric Society, vol. 48(6), pages 1381-91, September.
- Robert Tollison & William Mitchell & S. Roy, 1984.
Springer, vol. 43(1), pages 103-112, January.
- Robert Tollison & Paul Heyne & Richard Wagner, 1990. "Reviews," Constitutional Political Economy, Springer, vol. 1(3), pages 109-115, September.
- William Mitchell & Roger Faith & Robert Tollison, 1986. "Reviews," Public Choice, Springer, vol. 49(2), pages 195-200, January.
- Robert Tollison & Barry Keating & James Buchanan, 1978. "Reviews," Public Choice, Springer, vol. 33(3), pages 129-133, January.
- Robert Tollison & James Buchanan & Barry Baysinger & Richard Carter & Gordon Tullock, 1981. "Reviews," Public Choice, Springer, vol. 36(1), pages 197-208, January.
- Thomas Ireland & Daniel Newlon & Robert Tollison, 1970. "Reviews," Public Choice, Springer, vol. 8(1), pages 111-115, March.
- Vincent Ostrom & Viktor Vanberg & Robert Tollison, 1989. "Reviews," Public Choice, Springer, vol. 60(3), pages 293-298, March.
- Maite Alguacil & Ana Cuadros & Vicente Orts, 2004. "Does saving really matter for growth? Mexico (1970-2000)," Journal of International Development, John Wiley & Sons, Ltd., vol. 16(2), pages 281-290.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Glena Ames).
If references are entirely missing, you can add them using this form.