there is wage/price rigidity, but otherwise enjoys flexible wages and prices with a one quarter information lag. Using a VAR …

generalize Campbell's VAR implementation of Campbell and Shiller's present value decomposition to allow for parameter instability …

One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response … response parameters exceeds the number of VAR model parameters. Situations in which this order condition is violated arise …

We evaluate the Smets-Wouters model of the US using indirect inference with a VAR representation of the main US data …

An important preliminary step in impulse response analysis is to select the vector autoregressive (VAR) lag order from …-squared error of the implied impulse response estimates. We conclude that for monthly VAR models, the Akaike Information Criterion … quarterly VAR models, the Hannan-Quinn Criterion (HQC) appears to be the most accurate criterion with the exception of sample …

Structural vector autoregressive (VAR) models were introduced in 1980 as an alternative to traditional large … of the structural VAR methodology often were atheoretical in that users paid insufficient attention to the conditions … identifying assumptions the structural VAR literature has continuously evolved since the 1980s. This survey traces the evolution …

VAR auxiliary equation describing their data; the test is based on the Wald statistic. We find that their model generates …