Arbeitspapier
Un-truncating VARs
Macroeconomic research often relies on structural vector autoregressions to uncover empirical regularities. Critics argue the method goes awry due to lag truncation: short lag-lengths imply a poor approximation to DSGE-models. Empirically, short lag-length is deemed necessary as increased parametrization induces excessive uncertainty. The paper shows that this argument is incomplete. Longer lag-length simultaneously reduces misspeci.cation, which in turn reduces variance. For data generated by frontier DSGE-models long-lag VARs are feasible, reduce bias and variance, and have better coverage. Thus, contrary to conventional wisdom, the trivial solution to the critique actually works.
- Sprache
-
Englisch
- Erschienen in
-
Series: Sveriges Riksbank Working Paper Series ; No. 271
- Klassifikation
-
Wirtschaft
Methodological Issues: General
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
- Thema
-
VAR
SVAR
Lag-length
Truncation
- Ereignis
-
Geistige Schöpfung
- (wer)
-
De Graeve, Ferre
Westermark, Andreas
- Ereignis
-
Veröffentlichung
- (wer)
-
Sveriges Riksbank
- (wo)
-
Stockholm
- (wann)
-
2013
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- De Graeve, Ferre
- Westermark, Andreas
- Sveriges Riksbank
Entstanden
- 2013
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