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. …

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

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

This paper investigates whether codependence restrictions can be uniquely imposed on VAR and VEC models via the so …

We derive a framework for asymptotically valid inference in stable vector autoregressive (VAR) models with conditional … heteroskedasticity of unknown form. We prove a joint central limit theorem for the VAR slope parameter and innovation covariance … parameter estimators and address bootstrap inference as well. Our results are important for correct inference on VAR statistics …