| Registro completo |
| Provedor de dados: |
AgEcon
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| País: |
United States
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| Título: |
Vector Autoregressions, Policy Analysis, and Directed Acyclic Graphs: An Application to the U.S. Economy
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| Autores: |
Awokuse, Titus O.
Bessler, David A.
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| Data: |
2008-10-08
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| Ano: |
2003
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| Palavras-chave: |
Vector autoregression
Directed graphs
Policy analysis
Research Methods/ Statistical Methods
C1
E1
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| Resumo: |
The paper considers the use of directed acyclic graphs (DAGs), and their construction from observational data with PC-algorithm TETRAD II, in providing over-identifying restrictions on the innovations from a vector autoregression. Results from Sims’ 1986 model of the US economy are replicated and compared using these data-driven techniques. The directed graph results show Sims’ six-variable VAR is not rich enough to provide an unambiguous ordering at usual levels of statistical significance. A significance level in the neighborhood of 30 % is required to find a clear structural ordering. Although the DAG results are in agreement with Sims’ theory-based model for unemployment, differences are noted for the other five variables: income, money supply, price level, interest rates, and investment. Overall the DAG results are broadly consistent with a monetarist view with adaptive expectations and no hyperinflation.
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| Tipo: |
Journal Article
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| Idioma: |
Inglês
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| Identificador: |
Print ISSN 1514-0326
Online ISSN 1667-6726
http://purl.umn.edu/44001
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| Relação: |
Journal of Applied Economics>Volume 6, Number 2, November 2003
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| Formato: |
24
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