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http://hdl.handle.net/10419/62932
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| Title: | | VAR modelling arroach and Cowles Commission heritage  |
| 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
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