The Power of Long-Run Structural VARs


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} }