specifications? Are real or nominal oil prices predictable based on macroeconomic aggregates? Does this predictability translate into …

all. We examine, first, whether the evidence of in-sample predictability in support of this view extends to out …

Many users of structural VAR models are primarily interested in learning about the shape of structural impulse response …

distribution of VAR impulse response estimators is undermined by the estimator’s bias. A natural conjecture is that impulse … hence potentially more reliable in small samples than VAR-based estimators. We show that - contrary to this conjecture - LP … are typically less accurate and wider on average than suitably constructed VAR-based intervals. Bootstrapping the LP …

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 …

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 …

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 …