G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w2495
来源IDWorking Paper 2495
VAR Models as Structural Approximations
Ray C. Fair
发表日期1988
出版年1988
语种英语
摘要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.
主题Macroeconomics
URLhttps://www.nber.org/papers/w2495
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/559751
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GB/T 7714
Ray C. Fair. VAR Models as Structural Approximations. 1988.
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