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VAR Models as Structural Approximations

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

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File URL: http://cowles.yale.edu/sites/default/files/files/pub/d08/d0856-r.pdf
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Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 856R.

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Length: 17 pages
Date of creation: 1987
Date of revision: Mar 1989
Handle: RePEc:cwl:cwldpp:856r
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  1. Robert Tollison & Barry Keating & James Buchanan, 1978. "Reviews," Public Choice, Springer, vol. 33(3), pages 129-133, January.
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  2. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  3. Olivier J. Blanchard & Mark W. Watson, 1986. "Are Business Cycles All Alike?," NBER Chapters, in: The American Business Cycle: Continuity and Change, pages 123-180 National Bureau of Economic Research, Inc.
  4. Ray C. Fair & Robert J. Shiller, 1987. "Econometric Modeling as Information Aggregation," NBER Working Papers 2233, National Bureau of Economic Research, Inc.
  5. 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.
  6. Robert B. Litterman, 1979. "Techniques of forecasting using vector autoregressions," Working Papers 115, Federal Reserve Bank of Minneapolis.
  7. Fair, Ray C, 1980. "Estimating the Uncertainty of Policy Effects in Nonlinear Models," Econometrica, Econometric Society, vol. 48(6), pages 1381-91, September.
  8. Bernanke, Ben S., 1986. "Alternative explanations of the money-income correlation," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 25(1), pages 49-99, January.
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