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A History of EconometricsThe Reformation from the 1970s$
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Duo Qin

Print publication date: 2013

Print ISBN-13: 9780199679348

Published to Oxford Scholarship Online: September 2013

DOI: 10.1093/acprof:oso/9780199679348.001.0001

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PRINTED FROM OXFORD SCHOLARSHIP ONLINE (oxford.universitypressscholarship.com). (c) Copyright Oxford University Press, 2021. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use. date: 27 July 2021

Rise of the VAR Approach

Rise of the VAR Approach

Chapter:
(p.41) 3 Rise of the VAR Approach
Source:
A History of Econometrics
Author(s):

Qin Duo

Publisher:
Oxford University Press
DOI:10.1093/acprof:oso/9780199679348.003.0004

This chapter examines the rise of the VAR (Vector AutoRegressive) approach. It shows that the VAR approach arises from a fusion of the CC tradition and time series statistical methods, catalysed by the rational expectations (RE) movement, that the approach offers a systematic solution to the issue of ‘model choice’ bypassed by CC researchers, hence essentially inheriting and enhancing the CC legacy rather than abandoning or opposing it. By tackling model choice, however, the VAR approach helps reform econometric research by shifting its focus from measurement of given individual structural parameters within theoretical models to identification/verification of more data-coherent theoretical models.

Keywords:   VAR, rational expectations, structural shock, simultaneous-equations model

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