The robustness of identified VAR conclusions about money
AbstractThis paper presents a new way to assess robustness of claims from identified VAR work. All possible identifications are checked for the one that is worst for the claim, subject to the restriction that the VAR produce reasonable impulse responses to shocks. The statistic on which the claim is based need not be identified; thus, one can assess claims in large models using minimal restrictions. The technique reveals only weak support for the claim that monetary policy shocks contribute a small portion of the forecast error variance of postwar U.S. output in standard 6-variable and 13-variable models.
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Bibliographic InfoPaper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 610.
Date of creation: 1998
Date of revision:
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