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Sims, Christopher Albert (born 1942)

Author

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  • Marcel Boumans

Abstract

Christopher Sims is one of the leaders in time-series econometrics and empirical macroeconomics and is well known for introducing the VAR approach to econometrics and macroeconomic modelling. Sims' main contribution to empirical macroeconomics was to show how macro-econometric modeling should be revised so as to meet the Lucas Critique test. The VAR approach did not imply the abandoning of theory but only the involvement of theory that is ‘as light as possible.’ It shifted the focus from theoretical identification restrictions to identifying the main characteristics of the time series data, hence a shift of focus from theory to data.

Suggested Citation

  • Marcel Boumans, 2012. "Sims, Christopher Albert (born 1942)," The New Palgrave Dictionary of Economics,, Palgrave Macmillan.
    • Handle: RePEc:pal:dofeco:v:6:year:2012:doi:3881
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    More about this item

    Keywords

    Bayesian econometrics; Cowles Commission; Cowles Foundation; DSGE; dynamic stochastic general equilibrium; econometrics; economic policy; forecasting; Frisch; Granger causality; identification; Liu; Lucas; macroeconometrics; macroeconomic model; rational expectations; Sargent; structural VAR; time series analysis; Tinbergen; VAR;
    All these keywords.

    JEL classification:

    • A11 - General Economics and Teaching - - General Economics - - - Role of Economics; Role of Economists
    • B31 - Schools of Economic Thought and Methodology - - History of Economic Thought: Individuals - - - Individuals
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E1 - Macroeconomics and Monetary Economics - - General Aggregative Models

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