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 …

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 …

Using indirect inference based on a VAR we confront US data from 1972 to 2007 with a standard New Keynesian model in …

Recent research has shown that recursive real-time VAR forecasts of the real price of oil tend to be more accurate than … benefits of allowing for time variation in VAR model parameters and of constructing forecast combinations. We conclude that … quarterly forecasts of the real price of oil from suitably designed VAR models estimated on monthly data generate the most …

and what assumptions we have made in doing so. Furthermore, we perform a VAR analysis to provide some simple empirical …

Out-of-sample forecasting tests of DSGE models against time-series benchmarks such as an unrestricted VAR are … improve forecasts from an unrestricted VAR. In testing forecasting capacity they also have quite weak power, particularly on … improve on VAR forecasts. …

-biased technology shocks in a VAR with long-run restrictions. Hours fall in response to skill-biased technology shocks, indicating that …

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