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 from a deterministic simulation. The results show that the VAR models do not seem to be good structural approximations.
|Date of creation:||Jan 1988|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.nber.org
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Robert Tollison & William Mitchell & S. Roy, 1984.
Springer, vol. 43(1), pages 103-112, January.
- Robert Tollison & Barry Keating & James Buchanan, 1978. "Reviews," Public Choice, Springer, vol. 33(3), pages 129-133, January.
- William Mitchell & Roger Faith & Robert Tollison, 1986. "Reviews," Public Choice, Springer, vol. 49(2), pages 195-200, January.
- Robert Tollison & Paul Heyne & Richard Wagner, 1990. "Reviews," Constitutional Political Economy, Springer, vol. 1(3), pages 109-115, September.
- Thomas Ireland & Daniel Newlon & Robert Tollison, 1970. "Reviews," Public Choice, Springer, vol. 8(1), pages 111-115, March.
- Vincent Ostrom & Viktor Vanberg & Robert Tollison, 1989. "Reviews," Public Choice, Springer, vol. 60(3), pages 293-298, March.
- Robert Tollison & James Buchanan & Barry Baysinger & Richard Carter & Gordon Tullock, 1981. "Reviews," Public Choice, Springer, vol. 36(1), pages 197-208, January.
- Ray C. Fair & Robert J. Shiller, 1987.
"Econometric Modeling as Information Aggregation,"
NBER Working Papers
2233, National Bureau of Economic Research, Inc.
- Robert B. Litterman, 1979. "Techniques of forecasting using vector autoregressions," Working Papers 115, Federal Reserve Bank of Minneapolis.
- 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.
- Ben S. Bernanke, 1986. "Alternative Explanations of the Money-Income Correlation," NBER Working Papers 1842, National Bureau of Economic Research, Inc.
- 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.
- Fair, Ray C, 1980. "Estimating the Uncertainty of Policy Effects in Nonlinear Models," Econometrica, Econometric Society, vol. 48(6), pages 1381-91, September.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
When requesting a correction, please mention this item's handle: RePEc:nbr:nberwo:2495. 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: ()
If references are entirely missing, you can add them using this form.