Vector Autoregressions

James H. Stock and Mark Watson

Journal of Economic Perspectives, 2001, vol. 15, issue 4, 101-115

Abstract: This paper critically reviews the use of vector autoregressions (VARs) for four tasks: data description, forecasting, structural inference, and policy analysis. The paper begins with a review of VAR analysis, highlighting the differences between reduced-form VARs, recursive VARs and structural VARs. A three variable VAR that includes the unemployment rate, price inflation and the short term interest rate is used to show how VAR methods are used for the four tasks. The paper concludes that VARs have proven to be powerful and reliable tools for data description and forecasting, but have been less useful for structural inference and policy analysis.

JEL-codes: C32 (search for similar items in EconPapers)
Date: 2001
Note: DOI: 10.1257/jep.15.4.101
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (600)

Downloads: (external link)
http://www.aeaweb.org/articles.php?doi=10.1257/jep.15.4.101 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aea:jecper:v:15:y:2001:i:4:p:101-115

Ordering information: This journal article can be ordered from
https://www.aeaweb.org/journals/subscriptions

Access Statistics for this article

Journal of Economic Perspectives is currently edited by Enrico Moretti

More articles in Journal of Economic Perspectives from American Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Michael P. Albert ().