VAR Models as Structural Approximations / Ray C. Fair.

Format:

Book

Author/Creator:

Fair, Ray C.

Contributor:

National Bureau of Economic Research.

Series:

Working Paper Series (National Bureau of Economic Research) no. w2495.

NBER working paper series no. w2495

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1988.

Summary:

This paper presents a way of estimating how accurate VAR models are likely to be for answering structural questions. Data are generated from a dynamic deterministic solution of a structural model; a VAR model is estimated using a subset of these data; and the properties of the VAR model are compared to the properties of the structural model. This procedure has the advantage of eliminating the effects of error terms, since the data are generated from a deterministic simulation. The results show that the VAR models do not seem to be good structural approximations.

Notes:

Print version record

1988.