Policy Inference Using VAR Models
There has been relatively little systematic investigation of the sensitivity of policy inferences derived from vector autoregressive models to changes in the lag structure. The authors investigate this issue using a simple macro model consisting of output, prices, money, and interest rates. Using six different lag length selection criteria that vary the bias-efficiency tradeoff, they compare the policy inferences derived from the different estimations of the vector autoregressive model. The evidence shows that policy recommendations are quite sensitive to changes in the lag structure. Copyright 1991 by Oxford University Press.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Volume (Year): 29 (1991)
Issue (Month): 1 (January)
|Contact details of provider:|| Postal: Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK|
Fax: 01865 267 985
Web page: http://ei.oupjournals.org/
More information through EDIRC
|Order Information:||Web: http://www.oup.co.uk/journals|
When requesting a correction, please mention this item's handle: RePEc:oup:ecinqu:v:29:y:1991:i:1:p:44-52. 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: (Oxford University Press)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.