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VAR Modelling Approach and Cowles Commission Heritage

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Author Info
Duo Qin () (Queen Mary, University of London)

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Abstract

This paper examines the rise of the VAR approach from a historical perspective. It shows that the VAR approach arises as a systematic solution to the issue of 'model choice' bypassed by Cowles Commission (CC) researchers, and that the approach essentially inherits and enhances the CC legacy rather than abandons or opposes it. It argues that the approach is not so atheoretical as widely believed and that it helps reform econometrics by shifting research focus from measurement of given theories to identification/verification of data-coherent theories, and hence from confirmatory analysis to a mixture of confirmatory and exploratory analysis.

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File URL: http://www.econ.qmul.ac.uk/papers/doc/wp557.pdf
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Publisher Info
Paper provided by Queen Mary, University of London, Department of Economics in its series Working Papers with number 557.

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Date of creation: Mar 2006
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Handle: RePEc:qmw:qmwecw:wp557

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Related research
Keywords: VAR Macroeconometrics Methodology Rational expectations Structural model

Find related papers by JEL classification:
B23 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Quantitative and Mathematical
B40 - Schools of Economic Thought and Methodology - - Economic Methodology - - - General
C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General
C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General

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This page was last updated on 2008-10-30.

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