| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27771 |
| 来源ID | Working Paper 27771 |
| How to Estimate a VAR after March 2020 | |
| Michele Lenza; Giorgio E. Primiceri | |
| 发表日期 | 2020-09-07 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | This paper illustrates how to handle a sequence of extreme observations—such as those recorded during the COVID-19 pandemic—when estimating a Vector Autoregression, which is the most popular time-series model in macroeconomics. Our results show that the ad-hoc strategy of dropping these observations may be acceptable for the purpose of parameter estimation. However, disregarding these recent data is inappropriate for forecasting the future evolution of the economy, because it vastly underestimates uncertainty. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Business Cycles |
| URL | https://www.nber.org/papers/w27771 |
| 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/585442 |
| 推荐引用方式 GB/T 7714 | Michele Lenza,Giorgio E. Primiceri. How to Estimate a VAR after March 2020. 2020. |
| 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 | ||
| w27771.pdf（476KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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