Peersman JAE 2005—Comparison of different VAR approaches
Posted: Mon Jul 21, 2025 9:45 am
PeersmanJAE2005 is a (near) replication of Peersman(2005), "What caused the early millennium slowdown? Evidence based on vector autoregressions", Journal of Applied Econometrics, vol 20, no 2, pp 185–207; which compares results from VAR's with short- and long-run restrictions vs sign restrictions applied to U.S. and European data. The principal difference is that Peersman uses the parametric analysis from Canova and de Nicolo(2002) for doing sign restrictions, while the examples here use the Monte Carlo methods of Uhlig(2005).
Detailed Description
Detailed Description