| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12353 |
| 来源ID | Working Paper 12353 |
| Assessing Structural VARs | |
| Lawrence J. Christiano; Martin Eichenbaum; Robert Vigfusson | |
| 发表日期 | 2006-07-03 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | This paper analyzes the quality of VAR-based procedures for estimating the response of the economy to a shock. We focus on two key issues. First, do VAR-based confidence intervals accurately reflect the actual degree of sampling uncertainty associated with impulse response functions? Second, what is the size of bias relative to confidence intervals, and how do coverage rates of confidence intervals compare with their nominal size? We address these questions using data generated from a series of estimated dynamic, stochastic general equilibrium models. We organize most of our analysis around a particular question that has attracted a great deal of attention in the literature: How do hours worked respond to an identified shock? In all of our examples, as long as the variance in hours worked due to a given shock is above the remarkably low number of 1 percent, structural VARs perform well. This finding is true regardless of whether identification is based on short-run or long-run restrictions. Confidence intervals are wider in the case of long-run restrictions. Even so, long-run identified VARs can be useful for discriminating among competing economic models. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/w12353 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/570010 |
| 推荐引用方式 GB/T 7714 | Lawrence J. Christiano,Martin Eichenbaum,Robert Vigfusson. Assessing Structural VARs. 2006. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w12353.pdf（1443KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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