VARs typically employ the same number of lags for each variable.
Consequently, they often estimate many insignificant coefficients. A particular economic structure is developed to compare and contrast parameter estimates from AVAR and VAR specifications. Qualitatively similar results are obtained from each model. The AVARs have standard errors that are frequently smaller than the VAR, suggesting AVARs may obtain more efficient parameter estimates. Important questions about macroeconomic structure are addressed with these models.