A direct approach to Kilian–Lewis style counterfactual analysis in vector autoregression models

Shiu‐Sheng Chen

Journal of Applied Econometrics, 2023, vol. 38, issue 7, 1068-1076

Abstract: This paper proposes a direct approach to Kilian–Lewis style counterfactual analysis in structural vector autoregression models. The proposed approach is easy to implement, and the procedure of counterfactual construction is more transparent than the indirect approach. Practitioners conducting Kilian–Lewis style counterfactual analysis should find the proposed approach novel and useful.

Date: 2023
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