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Christopher A. Sims and Vector Autoregressions* |
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| Authors: | Lawrence J. Christiano |
| Affiliation: | Northwestern University, Evanston, IL 60208, USA l‐christiano@northwestern.edu |
| Abstract: | Three decades ago, Christopher A. Sims suggested that vector autoregressions (VARs) are useful statistical devices for evaluating alternative macroeconomic models. His suggestion has stood the test of time well. In the early days, VARs played an important role in the evaluation of alternative models. They continue to play that role today. |
| Keywords: | Bayesian econometrics dynamic stochastic general equilibrium model generalized method of moments Granger causality identification impulse response function New Keynesian model Nobel laureates vector autoregression E27 E37 |