How to advance theory with structural VARs
Subtitle: use the Sims-Cogley-Nason approach
By: Patrick J. Kehoe.
Contributors: Kehoe, Patrick J.; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 12575; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 12575.
Publisher: National Bureau of Economic Research
Published: 2006
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "The common approach to evaluating a model in the structural VAR literature is to compare the impulse responses from structural VARs run on the data to the theoretical impulse responses from the model.  The Sims-Cogley-Nason approach instead compares the structural VARs run on the data to identical structural VARs run on data from the model of the same length as the actual data.  Chari, Kehoe, and McGrattan (2006) argue that the inappropriate comparison made by the common approach is the root of the problems in the SVAR literature.  In practice, the problems can be solved simply.  Switching from the common approach to the Sims-Cogley-Nason approach basically involves changing a few lines of computer code and a few lines of text.  This switch will vastly increase the value of the structural VAR literature for economic theory"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 12/8/2006.

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