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VAR Models as Structural Approximations

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  • Ray C. Fair

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 from a deterministic simulation. The results show that the VAR models do not seem to be good structural approximations.

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Bibliographic Info

Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 2495.

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Date of creation: Jan 1988
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Handle: RePEc:nbr:nberwo:2495

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  1. Robert Tollison & Barry Keating & James Buchanan, 1978. "Reviews," Public Choice, Springer, Springer, vol. 33(3), pages 129-133, January.
  2. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, Econometric Society, vol. 48(1), pages 1-48, January.
  3. 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.
  4. Ray C. Fair & Robert J. Shiller, 1987. "Econometric Modeling as Information Aggregation," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 833R, Cowles Foundation for Research in Economics, Yale University, revised Jan 1988.
  5. Robert B. Litterman, 1979. "Techniques of forecasting using vector autoregressions," Working Papers, Federal Reserve Bank of Minneapolis 115, Federal Reserve Bank of Minneapolis.
  6. Ben S. Bernanke, 1986. "Alternative Explanations of the Money-Income Correlation," NBER Working Papers 1842, National Bureau of Economic Research, Inc.
  7. Fair, Ray C, 1980. "Estimating the Uncertainty of Policy Effects in Nonlinear Models," Econometrica, Econometric Society, Econometric Society, vol. 48(6), pages 1381-91, September.
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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., John Wiley & Sons, Ltd., vol. 16(2), pages 281-290.

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