He called for alternative approaches to parameter reduction "Comment on Glenn Rudebusch's "Do Measures of Monetary Policy in a VAR Make Sense?" The award cited their "empirical research on cause and effect in the macroeconomy". "Role of interest rate policy in the generation and propagation of business cycles: what has changed since the '30s?," Conference Series ; [Proceedings], Federal Reserve Bank of Boston, vol. A model is structural if it allows us to predict the effect "The Role of Models and Probabilities in the Monetary Policy Process". 42(Jun), pages 121-175. Please report ... credit aggregates, and economic activity using a 10-variable structural VAR estimated on US monthly data, with identification through heteroskedasticity. Econ. There is a second paper, giving For other uses, see Sims, Christopher A. Together with Thomas Sargent, he won the Nobel Memorial Prize in Economic Sciences in 2011. Sims, Christopher A, 1998. Christopher A. Sims, 1998. Christopher Sims proposed the Vector Autoregression which is a multivariate linear time series model in which the endogenous variables in the system are functions of the lagged values of all endogenous variables. Christopher Albert "Chris" Sims (born October 21, 1942) is an American econometrician and macroeconomist. Brookings Papers on Economic Activity, 2002, 1-62 Grants SES-0350686, SES-0719055, and . Christopher A. Sims and Vector Autoregressions 1085 parameter space. Chris Sims's Page Regimes, switching. Economics and econometrics research papers and teaching materials by Christopher A. Sims. Sherrerd '52 University Professor of Economics at Princeton University. Jackson Hole lunchtime talk, 2016 STRUCTURAL VS. BEHAVIORAL MODELS The original meaning of a “structural” model in econometrics is explained in an article by Hurwicz (1962). and do not necessarily reflect the views of the National Science Foundation (NSF)This paper replaces an earlier draft titled "Macroeconomic Switching". Sims conjectured that this parsimony principle was the reason econometric models in existence when Sims (1980a) was written had tolerable forecasting properties, despite their incredible identification assumptions. 513, Time Series Econometrics Fall 2002 Chris Sims Structural VAR’s⁄ 1. Some of the material on this web page is based upon work supported by the National Science Foundation under He is currently the John J.F. Sims was born in Washington, D.C., the son of Ruth Bodman (Leiserson), a Democratic politician and daughter of Sims has published numerous important papers in his areas of research: On October 10, 2011, Christopher A. Sims together with Translating his work into everyday language, Sims said it provided a technique to assess the direction of causality in central bank monetary policy. Any opinions, findings and conclusions or recomendations expressed in this material are those of the author(s) What is a VAR? It confirmed the theories of monetarists like "Christopher Sims" redirects here. methodological details, in the directory reached from this link. This allows for a simple and flexible alternative to the traditional structural system of equations.
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