Assessing structural vars / Lawrence J. Christiano, Martin Eichenbaum, Robert Vigfusson.
| Author/creator | Christiano, Lawrence J. |
| Other author | Eichenbaum, Martin S. |
| Other author | Vigfusson, Robert J. |
| Format | Electronic |
| Publication Info | Washington, D.C. : Federal Reserve Board, |
| Supplemental Content | Full text available from NBER Working Papers |
| Series | International finance discussion papers ; no. 866 International finance discussion papers (Online) ; no. 866. UNAUTHORIZED |
| Summary | "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"--Federal Reserve Board web site. |
| General note | Title from PDF file as viewed on 10/26/2006. |
| Bibliography note | Includes bibliographical references. |
| Access restriction | Available only to authorized users. |
| Other forms | Also available in print. |
| Technical details | Mode of access: World Wide Web |
| Genre/form | Electronic books. |
| LCCN | 2006620845 |
Availability
| Library | Location | Call Number | Status | Item Actions |
|---|---|---|---|---|
| Electronic Resources | Access Content Online | ✔ Available |