that the parameters of this VAR are unstable. However, using our proposed identification method we are able to attribute … instability in the parameters of the VAR solely to changes in the parameters of the policy rule. We recover parameter estimates of …

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

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 …

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 …

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