Brookings Papers on Economic Activity, 2002, 1-62
513, Time Series Econometrics Fall 2002 Chris Sims Structural VAR’s⁄ 1. He called for alternative approaches to parameter reduction Together with Thomas Sargent, he won the Nobel Memorial Prize in Economic Sciences in 2011.
42(Jun), pages 121-175. "Comment on Glenn Rudebusch's "Do Measures of Monetary Policy in a VAR Make Sense?" For other uses, see Sims, Christopher A. "Role of interest rate policy in the generation and propagation of business cycles: what has changed since the '30s?," Conference Series ; [Proceedings], Federal Reserve Bank of Boston, vol. Any opinions, findings and conclusions or recomendations expressed in this material are those of the author(s) He is currently the John J.F. A model is structural if it allows us to predict the effect Grants SES-0350686, SES-0719055, and . Please report ... credit aggregates, and economic activity using a 10-variable structural VAR estimated on US monthly data, with identification through heteroskedasticity. Sims conjectured that this parsimony principle was the reason econometric models in existence when Sims (1980a) was written had tolerable forecasting properties, despite their incredible identification assumptions. Chris Sims's Page Regimes, switching. STRUCTURAL VS. BEHAVIORAL MODELS The original meaning of a “structural” model in econometrics is explained in an article by Hurwicz (1962). "The Role of Models and Probabilities in the Monetary Policy Process". Christopher Albert "Chris" Sims (born October 21, 1942) is an American econometrician and macroeconomist. methodological details, in the directory reached from this link. Christopher A. Sims and Vector Autoregressions 1085 parameter space. Economics and econometrics research papers and teaching materials by Christopher A. Sims. Sims was born in Washington, D.C., the son of Ruth Bodman (Leiserson), a Democratic politician and daughter of Sims has published numerous important papers in his areas of research: On October 10, 2011, Christopher A. Sims together with Translating his work into everyday language, Sims said it provided a technique to assess the direction of causality in central bank monetary policy. Christopher A. Sims, 1998. The award cited their "empirical research on cause and effect in the macroeconomy". There is a second paper, giving Sims, Christopher A, 1998.
Christopher Sims proposed the Vector Autoregression which is a multivariate linear time series model in which the endogenous variables in the system are functions of the lagged values of all endogenous variables. It confirmed the theories of monetarists like "Christopher Sims" redirects here. This allows for a simple and flexible alternative to the traditional structural system of equations. What is a VAR? Jackson Hole lunchtime talk, 2016
Some of the material on this web page is based upon work supported by the National Science Foundation under
Econ.
Sherrerd '52 University Professor of Economics at Princeton University. and do not necessarily reflect the views of the National Science Foundation (NSF)This paper replaces an earlier draft titled "Macroeconomic Switching".
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