Christopher A. Sims et la représentation VAR

Jean-Baptiste Gossé () and Cyriac Guillaumin
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Jean-Baptiste Gossé: CEPN - Centre d'Economie de l'Université Paris Nord - UP13 - Université Paris 13 - USPC - Université Sorbonne Paris Cité - CNRS - Centre National de la Recherche Scientifique

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Abstract: On October 10th, 2011 the Royal Swedish Academy of Sciences awarded the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel to Thomas Sargent and Christopher Sims "for their empirical research on cause and effect in the macroeconomy". In this article we present the contribution for which Sims was awarded. We first present his academic cursus. Then, we summarise his key contributions. In order to overcome the limitations of Keynesian Macroeconometric models, Sims (1980) made the famous Sims critique and proposed a multivariate model where the only restrictions are the selection of variables and the choice of the number of lags. We conclude with an outlook of the academic researches generated by the Sims' pioneering work.

Keywords: Mots-clefs : Sims; processus VAR.; Sims; VAR process. (search for similar items in EconPapers)
Date: 2011-11-19
New Economics Papers: this item is included in nep-ecm
Note: View the original document on HAL open archive server: https://hal.science/hal-00642920v1
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