EconStor >
Queen Mary, University of London >
School of Economics and Finance, Queen Mary, University of London  >
Working Paper Series, School of Economics and Finance, Queen Mary, University of London  >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/62932
  
Title:VAR modelling arroach and Cowles Commission heritage PDF Logo
Authors:Qin, Duo
Issue Date:2006
Series/Report no.:Working Paper, Department of Economics, Queen Mary, University of London 557
Abstract:This paper examines the rise of the VAR approach from a historical perspective. It shows that the VAR approach arises as a systematic solution to the issue of 'model choice' bypassed by Cowles Commission (CC) researchers, and that the approach essentially inherits and enhances the CC legacy rather than abandons or opposes it. It argues that the approach is not so atheoretical as widely believed and that it helps reform econometrics by shifting research focus from measurement of given theories to identification/verification of data-coherent theories, and hence from confirmatory analysis to a mixture of confirmatory and exploratory analysis.
Subjects:VAR, Macroeconometrics, Methodology, Rational expectations, Structural model
JEL:B23
B40
C10
C30
C50
Document Type:Working Paper
Appears in Collections:Working Paper Series, School of Economics and Finance, Queen Mary, University of London

Files in This Item:
File Description SizeFormat
509881092.pdf298.88 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/62932

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.