Advanced Search
MyIDEAS: Login to save this paper or follow this series

VAR Models as Structural Approximations

Contents:

Author Info

Abstract

This 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 Info

If 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.
File URL: http://cowles.econ.yale.edu/P/cd/d08b/d0856-r.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 856R.

as in new window
Length: 17 pages
Date of creation: 1987
Date of revision: Mar 1989
Handle: RePEc:cwl:cwldpp:856r

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

Order Information:
Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

Related research

Keywords:

Other versions of this item:

References

References listed on IDEAS
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.:
as in new window
  1. 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.
  2. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  3. 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.
    • James Buchanan & Robert Wallace & Mark Pauly, 1971. "Reviews," Public Choice, Springer, vol. 10(1), pages 109-117, March.
    • Robert Tollison & William Mitchell & S. Roy, 1984. "Reviews," Public Choice, Springer, vol. 43(1), pages 103-112, January.
    • James Buchanan & Frank Forman, 1985. "Reviews," Public Choice, Springer, vol. 47(3), pages 531-534, January.
    • Robert Tollison & Paul Heyne & Richard Wagner, 1990. "Reviews," Constitutional Political Economy, Springer, vol. 1(3), pages 109-115, September.
    • James Buchanan & James Bennett & Carl Dahlman & William Niskanen & Gordon Tullock, 1981. "Reviews," Public Choice, Springer, vol. 37(3), pages 611-620, January.
    • George Selgin & Frank Forman & Richard Langlois & James Buchanan & Hardy Bouillon & Jonathan Riley & Heinrich Ursprung & Alan Hamlin, 1990. "Reviews," Constitutional Political Economy, Springer, vol. 1(2), pages 83-109, March.
    • Gordon Tullock & James Buchanan, 1972. "Reviews," Public Choice, Springer, vol. 12(1), pages 119-126, March.
    • Robert Tollison & Barry Keating & James Buchanan, 1978. "Reviews," Public Choice, Springer, vol. 33(3), pages 129-133, January.
    • James Buchanan & Winston Bush & Louis Alessi & Warren Samuels, 1973. "Reviews," Public Choice, Springer, vol. 16(1), pages 91-97, September.
    • Richard Wagner & James Buchanan, 1968. "Review," Public Choice, Springer, vol. 4(1), pages 81-88, March.
    • William Mitchell & Roger Faith & Robert Tollison, 1986. "Reviews," Public Choice, Springer, vol. 49(2), pages 195-200, January.
    • Vincent Ostrom & Viktor Vanberg & Robert Tollison, 1989. "Reviews," Public Choice, Springer, vol. 60(3), pages 293-298, March.
  4. Fair, Ray C, 1980. "Estimating the Uncertainty of Policy Effects in Nonlinear Models," Econometrica, Econometric Society, vol. 48(6), pages 1381-91, September.
  5. Ray C. Fair & Robert J. Shiller, 1987. "Econometric Modeling as Information Aggregation," NBER Working Papers 2233, National Bureau of Economic Research, Inc.
  6. 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.
  7. Robert B. Litterman, 1979. "Techniques of forecasting using vector autoregressions," Working Papers 115, Federal Reserve Bank of Minneapolis.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. 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.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:cwl:cwldpp:856r. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Glena Ames).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.