VAR Modelling Approach and Cowles Commission Heritage

Duo Qin

No 557, Working Papers from Queen Mary University of London, School of Economics and Finance

Abstract: This paper examines the rise of the VAR approach from a historical perspective. It shows that the VAR approach arises as a systematic solution to the issue of 'model choice' bypassed by Cowles Commission (CC) researchers, and that the approach essentially inherits and enhances the CC legacy rather than abandons or opposes it. It argues that the approach is not so atheoretical as widely believed and that it helps reform econometrics by shifting research focus from measurement of given theories to identification/verification of data-coherent theories, and hence from confirmatory analysis to a mixture of confirmatory and exploratory analysis.

Keywords: VAR; Macroeconometrics; Methodology; Rational expectations; Structural model (search for similar items in EconPapers)
JEL-codes: B23 B40 C10 C30 C50 (search for similar items in EconPapers)
Date: 2006-03-01
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:qmw:qmwecw:557

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