The Power of Long-Run Structural VARs

Abstract

Can structural vector autoregressions (VARs) discriminate between macro models? In simulation exercises, VARs will only infrequently reject the true data generating process. However, equally important is power: the rejection rate of false hypothesis. For a set of DSGE models, we report power results for both the standard test of the sign on impact and a… (More)

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@inproceedings{Gust2009ThePO, title={The Power of Long-Run Structural VARs}, author={Christopher Gust and Robert Vigfusson}, year={2009} }