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.

Objekttyp

  • Arbeitspapier

Beteiligte

  • De Graeve, Ferre
  • Westermark, Andreas
  • Sveriges Riksbank

Entstanden

  • 2013

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