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Structural change and lag length in VAR models

  • Thoma, Mark

This paper investigates the relationship between changes in policy rules and changes in the estimated lag length in empirical models. The paper finds that there is a close association between changes in the parameter on the output gap term in the monetary policy rule investigated here and changes in estimated lag length for an associated VAR model.

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File URL: http://www.sciencedirect.com/science/article/B6X4M-4PFDDJ3-1/2/4b2cd997569bbb4b251555fb2ebb6781
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Article provided by Elsevier in its journal Journal of Macroeconomics.

Volume (Year): 30 (2008)
Issue (Month): 3 (September)
Pages: 965-976

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Handle: RePEc:eee:jmacro:v:30:y:2008:i:3:p:965-976
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/622617

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  1. Boivin, Jean & Giannoni, Marc, 2006. "Has Monetary Policy Become More Effective?," CEPR Discussion Papers 5463, C.E.P.R. Discussion Papers.
  2. Swanson, Norman R., 1998. "Money and output viewed through a rolling window," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 455-474, May.
  3. Bernanke, Ben S. & Mihov, Ilian, 1995. "Measuring Monetary Policy," Economics Series 10, Institute for Advanced Studies.
  4. Jean Boivin & Marc Giannoni & Ilian Mihov, 2007. "Sticky Prices and Monetary Policy: Evidence from Disaggregated U.S. Data," NBER Working Papers 12824, National Bureau of Economic Research, Inc.
  5. Richard Clarida & Jordi Galí & Mark Gertler, 2000. "Monetary Policy Rules And Macroeconomic Stability: Evidence And Some Theory," The Quarterly Journal of Economics, MIT Press, vol. 115(1), pages 147-180, February.
  6. Christopher A. Sims & Tao Zha, 2004. "Were there regime switches in U.S. monetary policy?," Working Paper 2004-14, Federal Reserve Bank of Atlanta.
  7. Clarida, R. & Gali, J. & Gertler, M., 1999. "The Science of Monetary Policy: A New Keynesian Perspective," Working Papers 99-13, C.V. Starr Center for Applied Economics, New York University.
  8. George J. Bratsiotis & Christopher Martin, 2005. "Output Stabilization And Real Rigidity," Manchester School, University of Manchester, vol. 73(6), pages 728-736, December.
  9. Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2004. "Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach," Finance and Economics Discussion Series 2004-03, Board of Governors of the Federal Reserve System (U.S.).
  10. Emi Nakamura & Jón Steinsson, 2008. "Five Facts about Prices: A Reevaluation of Menu Cost Models," The Quarterly Journal of Economics, MIT Press, vol. 123(4), pages 1415-1464, November.
  11. Kaushik Mitra & Seppo Honkapohja, 2004. "Performance of Inflation Targeting Based on constant Interest Rate Projections," Computing in Economics and Finance 2004 130, Society for Computational Economics.
  12. W. Douglas McMillin & Keuk-soo Kim, . "Estimating the Effects of Monetary Policy Shocks: Does Lag Structure Matter?," Departmental Working Papers 2002-04, Department of Economics, Louisiana State University.
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