The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Vector Autoregressions
Open accessAbstract
This paper critically reviews the use of vector autoregressions (VARs) for four tasks: data description, forecasting, structural inference, and policy analysis. The paper begins with a review of VAR analysis, highlighting the differences between reduced-form VARs, recursive VARs and structural VARs. A three variable VAR that includes the unemployment rate, price inflation and the short term interest rate is used to show how VAR methods are used for the four tasks. The paper concludes that VARs have proven to be powerful and reliable tools for data description and forecasting, but have been less useful for structural inference and policy analysis.
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Citations
Cites
Discretion versus policy rules in practice
Taylor, J. B. (1993) · Carnegie-Rochester Conference Series on Public Policy · doi:10.1016/0167-2231(93)90009-l · Cited by 9,065
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Borenstein, S., Bushnell, J., Wolak, F. A., & Zaragoza-Watkins, M. (2019) · American Economic Review · doi:10.1257/aer.20161218 · Cited by 205
Simultaneous Confidence Regions for Impulse Responses
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Köse, N., & Ünal, E. (2021) · Energy · doi:10.1016/j.energy.2021.120392 · Cited by 81
Metadata
- Authors
- Stock, J. H., & Watson, M. W.
- Venue
- Journal of Economic Perspectives
- Publisher
- American Economic Association
- Published
- 2001-11-01
- Volume
- 15
- Issue
- 4
- Pages
- 101-115
- ISSN
- 0895-3309 (ISSN-L)
- OpenAlex
- W4234722734
- Cited by
- 1,150
- References
- 1
- FWCI
- 14.35
- Type
- journal article
- Language
- en
- Open access
- bronze
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
