Harrison, Richard; Mumtaz, Haroon; Yates, Tony - Centre for Dynamic Macroeconomic Analysis, University …
In this paper, we assess the ability of time-varying VAR models to correctly diagnose the source of ‘Great Moderations’ generated in simulations of a learning model. We find that, in general, they can. For example, in data sets with Great Moderations generated by good policy, the VAR...