A note on the Cogley–Nason–Sims approach

Syed M. Hussain and Lin Liu
Authors registered in the RePEc Author Service: Syed Muhammad Hussain and syed Murtaza hussain, Sr.

Economics Letters, 2016, vol. 146, issue C, 77-81

Abstract: In evaluating an economic model with Structural Vector Auto-Regression (SVAR), the Cogley–Nason–Sims (CNS) approach compares impulse responses estimated from empirical data with those obtained from the identical SVAR run on model generated data. Using Monte-Carlo simulations, this paper examines small sample performance of the CNS approach.

Keywords: Cogley–Nason–Sims approach; Small sample properties; Structural Vector Auto-Regression; Identification; Monte-Carlo simulation (search for similar items in EconPapers)
JEL-codes: C32 E52 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:146:y:2016:i:c:p:77-81

DOI: 10.1016/j.econlet.2016.06.036

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