This paper presents a new way to assess robustness of claims from identified
VAR work. All possible identifications are checked for the one that
is worst for the claim, subject to the restriction that the
VAR produce reasonable impulse responses to shocks.
The statistic on which the claim is based need not be identified; thus, one can assess
claims in large models using minimal restrictions. The technique reveals only weak support for the claim that monetary policy shocks contribute a small portion of the
forecast error variance of postwar U.S. output in standard 6-variable and 13-variable models.
Full paper (590 KB PDF)
Home | IFDPs | List of 1998 IFDPs
To comment on this site, please fill out our feedback form.
Last update: July 19, 2001