Alternative procedures for estimating vector autoregressions identified with long-run restrictions

Journal of the European Economic Association

Volumn 4, Issue 2-3, 2006, Pages 475-483

  Christiano, Lawrence J ^a   Eichenbaum, Martin ^a   Vigfusson, Robert J ^b  

^a NORTHWESTERN UNIVERSITY   (United States)

^b FEDERAL RESERVE BOARD   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 34250890961     PISSN: 15424766     EISSN: 15424774     Source Type: Journal    
DOI: 10.1162/jeea.2006.4.2-3.475     Document Type: Conference Paper

References (5)

1. Andrews, Donald W. K., and J. Christopher Monahan (1992). "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator." Econometrica, 60, 953-966.
2. Chari, Varadarajan V., Patrick Kehoe, and Ellen McGrattan (2005). "A Critique of Structural VARs Using Real Business Cycle Theory." Federal Reserve Bank of Minneapolis Staff Report 364, July.
3. Christiano, Lawerence J., Martin Eichenbaum, and Robert Vigfusson (2005). "Assessing Structural VARs." Manuscript, Northwestern University.
4. Galí, Jordi (1999). "Technology, Employment, and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations?" American Economic Review, 89(1), 249-271.
5. Sims, Christopher (1972). "The Role of Approximate Prior Restrictions in Distributed Lag Estimation." Journal of the American Statistical Association, 67(337), 169-175.