author={Christopher A. Sims},
  • C. Sims
  • Published 1980
  • Economics
  • Econometrica
Existing strategies for econometric analysis related to macroeconomics are subject to a number of serious objections, some recently formulated, some old. These objections are summarized in this paper, and it is argued that taken together they make it unlikely that macroeconomic models are in fact over identified, as the existing statistical theory usually assumes. The implications of this conclusion are explored, and an example of econometric work in a non-standard style, taking account of the… 
The Getting of Macroeconomic Wisdom
The paper discusses a number of trends in the use of macro-economic models for acquiring information about the macro-economy. It is argued that a fundamental distinction should be drawn between
A macroeconomics of social contracts
This thesis sets out the case and foundations for a new way to think about, and model, Macroeconomics. This framework aims to describe the fluctuations and differing growths of economies, not in
The Trouble with Macroeconomics
In the last three decades, the methods and conclusions of macroeconomics have deteriorated to the point that much of the work in this area no longer qualifies as scientific research. The treatment of
Real Business Cycle Analysis: A Needed Revolution in Macroeconometrics
The contention of this paper is that real business cycle (RBC) analysis has highlighted fundamental flaws in the underlying macroeconomic theory and econometric methodology of traditional
Lectures on Behavioral Macroeconomics
In mainstream economics, and particularly in New Keynesian macroeconomics, the booms and busts that characterize capitalism arise because of large external shocks. The combination of these shocks and
Econometrics and Business Cycle Empirics
Business cycle empirics have long been a central arena for the debate about the roles of economic theory and econometrics in modelling economic time-series data: some famous historical examples are
Macroeconomics and a Bit More Reality
Macroeconomics, in its widest sense, is a topic which is too diverse to be usefully discussed in a single article. I will therefore take a very narrow view of what might be included under this
The Econometrics of Macroeconomic Modelling
Macroeconometric models, in many ways the flagships of the economist's profession in the 1960s, came under increasing attack from both theoretical economist and practitioners in the late 1970s.
Estimating how the macroeconomy works
Macroeconomics tries to describe and explain the economywide movement of prices, output, and unemployment. The field has been sharply divided among various schools, including Keynesian, monetarist,
Empirical Macroeconomics
The causal relationship between economic policy and macroeconomic variables, such as, GDP, inflation, employment and investments, is an important issue in the discussions on the challenges of


Econometric Implications of the Rational Expectations Hypothesis
The implications for applied econometrics of the assumption that unobservable expectations are formed rationally in Muth's sense are examined. The statistical properties of the resulting models and
Rational Expectations, Econometric Exogeneity, and Consumption
  • T. Sargent
  • Economics
    Journal of Political Economy
  • 1978
Estimates of a rational expectations version of Friedman's time-series consumption model are obtained by imposing the pertinent restrictions across the stochastic processes for consumption and
The Brookings Model Volume: A Review Article
T HE volume under review is the result of the collective effort of twenty-five economists. It consists of a set of chapters each representing a building block for a large scale model of the United
The Ex Ante Prediction Performance of the St. Louis and FRB-MIT-PENN Econometric Models and Some Results on Composite Predictors
The primary objective of this paper is to evaluate and compare the prediction performance of two econometric models of the U. S. economy, namely, the St. Louisl (SL) and FRB-MIT-Penn2 (FMP) models,
The Rigidity of Wages and the Persistence of Unemployment
IN THE MODERN American economy, fiuctuations in unemployment usually persist from one year to the next. Past decades have seen two lengthy deviations from equilibrium in the labor market: 1958
Inflation: Its Mechanics and Welfare Costs
ECONOMISTS CONTINUE to be baffled by the mystery of inflationary recession (or stagflation) that has been experienced by industrialized countries during the 1970s. What causes inflation to churn on
"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule
Alternative monetary policies are analyzed in an ad hoc macroeconomic model in which the public's expectations about prices are rational. The ad hoc model is one in which there is long-run
The monetarist controversy; or, should we forsake stabilization policies?
In recent years and especially since the onset of the current depression, the economics profession and the lay public have heard a great deal about the sharp conflict between “monetarists and
Multicollinearity: A Bayesian Interpretation
T HE problem of collinear data sets in the context of the univariate multiple regression model has generated a confusing array of papers, comments and footnotes. Perusal of this literature does not