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VAR Models

Narrower topics in the RePEc Biblio tree

• Sign Restrictions
• Bayesian Vector autoregressions (BVARs)
• Time Varying Parameters and Stochastic Volatility

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This RePEc Biblio topic is edited by Domenico Giannone (pgi49). It was first published on 2017-12-03 16:01:52 and last updated on 2017-12-03 22:21:32.

Most relevant research

1. Sims, Christopher A, 1980, "Macroeconomics and Reality," Econometrica, Econometric Society, volume 48, issue 1, pages 1-48, January.
2. James H. Stock & Mark W. Watson, 2001, "Vector Autoregressions," Journal of Economic Perspectives, American Economic Association, volume 15, issue 4, pages 101-115, Fall.
3. Blanchard, Olivier Jean & Quah, Danny, 1989, "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, volume 79, issue 4, pages 655-673, September.
   • Olivier Jean Blanchard & Danny Quah, 1988, "The Dynamic Effects of Aggregate Demand and Supply Disturbance," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics, number 497, May.
   • Olivier Jean Blanchard & Danny Quah, 1988, "The Dynamic Effects of Aggregate Demand and Supply Disturbances," NBER Working Papers, National Bureau of Economic Research, Inc, number 2737, Oct.
   • Tom Doan, 2025, "BQDODRAWS: RATS procedure to implement Monte Carlo draws from a VAR with Blanchard-Quah factorization," Statistical Software Components, Boston College Department of Economics, number RTS00030, revised .
   • Tom Doan, 2025, "RATS programs to replicate Blanchard and Quah AER 1989," Statistical Software Components, Boston College Department of Economics, number RTZ00017, revised .
4. Engle, Robert F & Granger, Clive W J, 1987, "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, volume 55, issue 2, pages 251-276, March.
   • Robert Engle & Clive Granger, 2015, "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Academy of National Economy and Public Administration (RANEPA), volume 39, issue 3, pages 106-135.
5. Christiano, Lawrence J. & Eichenbaum, Martin & Evans, Charles L., 1999, "Monetary policy shocks: What have we learned and to what end?," Handbook of Macroeconomics, Elsevier, chapter 2, in: J. B. Taylor & M. Woodford, "Handbook of Macroeconomics".
   • Lawrence J. Christiano & Martin S. Eichenbaum & Charles L. Evans, 1997, "Monetary policy shocks: what have we learned and to what end?," Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago, number WP-97-18.
   • Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 1998, "Monetary Policy Shocks: What Have We Learned and to What End?," NBER Working Papers, National Bureau of Economic Research, Inc, number 6400, Feb.
6. Olivier Blanchard & Roberto Perotti, 2002, "An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 117, issue 4, pages 1329-1368.
   • Olivier Blanchard & Roberto Perotti, 1999, "An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output," NBER Working Papers, National Bureau of Economic Research, Inc, number 7269, Jul.
7. Jordi Gali, 1999, "Technology, Employment, and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations?," American Economic Review, American Economic Association, volume 89, issue 1, pages 249-271, March.
   • Galí, Jordi, 1996, "Technology, Employment, and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations?," CEPR Discussion Papers, Centre for Economic Policy Research, number 1499, Dec.
   • Gali, J., 1996, "Technology, Employment, and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations?," Working Papers, C.V. Starr Center for Applied Economics, New York University, number 96-28.
   • Jordi Gali, 1996, "Technology, Employment, and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations," NBER Working Papers, National Bureau of Economic Research, Inc, number 5721, Aug.
   • Tom Doan, 2025, "RATS programs to replicate Gali's AEA 1999 VAR results," Statistical Software Components, Boston College Department of Economics, number RTZ00062, revised .
8. Roberto Rigobon, 2003, "Identification Through Heteroskedasticity," The Review of Economics and Statistics, MIT Press, volume 85, issue 4, pages 777-792, November.
9. Lutz Kilian, 2009, "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," American Economic Review, American Economic Association, volume 99, issue 3, pages 1053-1069, June.
   • Kilian, Lutz, 2006, "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," CEPR Discussion Papers, Centre for Economic Policy Research, number 5994, Dec.
   • Tom Doan, 2026, "KILIANAER2009: RATS program to replicate Kilian(2009)'s VAR analysis of oil market/macro data," Statistical Software Components, Boston College Department of Economics, number RTJ00087, revised .
   • Tom Doan, 2025, "KILIAN_AER2009: RATS program to replicate Kilian(2009)'s VAR analysis of oil market/macro data," Statistical Software Components, Boston College Department of Economics, number RTZ00226, revised .
10. Mertens, Karel & Ravn, Morten O., 2014, "A reconciliation of SVAR and narrative estimates of tax multipliers," Journal of Monetary Economics, Elsevier, volume 68, issue S, pages 1-19, DOI: 10.1016/j.jmoneco.2013.04.004.
    • Ravn, Morten & Mertens, Karel, 2012, "A Reconciliation of SVAR and Narrative Estimates of Tax Multipliers," CEPR Discussion Papers, Centre for Economic Policy Research, number 8973, May.
11. Uhlig, Harald, 2005, "What are the effects of monetary policy on output? Results from an agnostic identification procedure," Journal of Monetary Economics, Elsevier, volume 52, issue 2, pages 381-419, March.
    • Uhlig, Harald, 1999, "What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure," CEPR Discussion Papers, Centre for Economic Policy Research, number 2137, May.
    • Uhlig, H.F.H.V.S., 1999, "What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure," Discussion Paper, Tilburg University, Center for Economic Research, number 1999-28.
    • Tom Doan, 2026, "UHLIGJME2005: RATS programs to replicate Uhlig(2005)'s VAR identification technique," Statistical Software Components, Boston College Department of Economics, number RTJ00076, revised .
    • Tom Doan, 2025, "UHLIGFUNCS: RATS procedure to compute criteria for Uhlig sign-restricted shocks," Statistical Software Components, Boston College Department of Economics, number RTS00217, revised .
    • Tom Doan, 2025, "RATS programs to replicate Uhlig's VAR identification technique," Statistical Software Components, Boston College Department of Economics, number RTZ00163, revised .
12. Christiane Baumeister & James D. Hamilton, 2015, "Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information," Econometrica, Econometric Society, volume 83, issue 5, pages 1963-1999, September.
    • Christiane Baumeister & James D. Hamilton, 2014, "Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information," NBER Working Papers, National Bureau of Economic Research, Inc, number 20741, Dec.
13. Lippi, Marco & Reichlin, Lucrezia, 1993, "The Dynamic Effects of Aggregate Demand and Supply Disturbances: Comment," American Economic Review, American Economic Association, volume 83, issue 3, pages 644-652, June.
    • Marco Lippi & Lucrezia Reichlin, 1993, "The dynamic effects of aggregate demand and supply disturbances: comment," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/10159, Jun.
14. Domenico Giannone & Lucrezia Reichlin, 2006, "Does information help recovering structural shocks from past observations?," Journal of the European Economic Association, MIT Press, volume 4, issue 2-3, pages 455-465, 04-05.
    • Reichlin, Lucrezia & Giannone, Domenico, 2006, "Does Information Help Recovering Structural Shocks from Past Observations?," CEPR Discussion Papers, Centre for Economic Policy Research, number 5725, Jun.
    • Giannone, Domenico & Reichlin, Lucrezia, 2006, "Does information help recovering structural shocks from past observations?," Working Paper Series, European Central Bank, number 632, May.
    • Domenico Giannone & Lucrezia Reichlin, 2006, "Does information help recovering structural shocks from past observations?," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/166169, Apr.
15. Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1983, "Forecasting and Conditional Projection Using Realistic Prior Distributions," NBER Working Papers, National Bureau of Economic Research, Inc, number 1202, Sep.
    • Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1986, "Forecasting and conditional projection using realistic prior distribution," Staff Report, Federal Reserve Bank of Minneapolis, number 93, DOI: 10.21034/sr.93.
16. Timothy Cogley & Thomas J. Sargent, 2002, "Evolving Post-World War II US Inflation Dynamics," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 2001, Volume 16".
    • Timothy Cogley & Thomas Sargent, undated, "Evolving Post-World War II U.S. Inflation Dynamics," Working Papers, Department of Economics, W. P. Carey School of Business, Arizona State University, number 2132872.
17. Giorgio E. Primiceri, 2005, "Time Varying Structural Vector Autoregressions and Monetary Policy," The Review of Economic Studies, Review of Economic Studies Ltd, volume 72, issue 3, pages 821-852.
    • Marco Del Negro & Giorgio E. Primiceri, 2015, "Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum," The Review of Economic Studies, Review of Economic Studies Ltd, volume 82, issue 4, pages 1342-1345.
18. Christopher A. Sims & Tao Zha, 2006, "Were There Regime Switches in U.S. Monetary Policy?," American Economic Review, American Economic Association, volume 96, issue 1, pages 54-81, March.
    • Christopher A. Sims & Tao Zha, 2004, "Were there regime switches in U.S. monetary policy?," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2004-14.
    • Christopher A. Sims & Tao Zha, 2005, "Were There Regime Switches in U.S. Monetary Policy?," Working Papers, Princeton University, Department of Economics, Center for Economic Policy Studies., number 92, May.
19. Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010, "Large Bayesian vector auto regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 25, issue 1, pages 71-92, DOI: 10.1002/jae.1137.
    • Marta Bańbura & Domenico Giannone & Lucrezia Reichlin, 2010, "Large Bayesian vector auto regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 25, issue 1, pages 71-92, January, DOI: 10.1002/jae.1137.
    • Reichlin, Lucrezia & Giannone, Domenico & BaÅ„bura, Marta, 2007, "Bayesian VARs with Large Panels," CEPR Discussion Papers, Centre for Economic Policy Research, number 6326, Jun.
    • Marta Bañbura & Domenico Giannone & Lucrezia Reichlin, 2008, "Large Bayesian VARs," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2008_033.
    • Marta Bańbura, 2008, "Large Bayesian VARs," 2008 Meeting Papers, Society for Economic Dynamics, number 334.
20. Bańbura, Marta & Giannone, Domenico & Lenza, Michele, 2015, "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," International Journal of Forecasting, Elsevier, volume 31, issue 3, pages 739-756, DOI: 10.1016/j.ijforecast.2014.08.013.
    • Giannone, Domenico & BaÅ„bura, Marta & Lenza, Michele, 2014, "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," CEPR Discussion Papers, Centre for Economic Policy Research, number 9931, Apr.
    • Marta Bañbura & Domenico Giannone & Michèle Lenza, 2014, "Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2014-15, Mar.
    • Giannone, Domenico & Bańbura, Marta & Lenza, Michele, 2014, "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," Working Paper Series, European Central Bank, number 1733, Sep.

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