Have Standard VARS Remained Stable Since the Crisis? (replication data)

DOI

Small vector autoregressions are commonly used in macroeconomics for forecasting and evaluating shock transmission. This requires VAR parameters to be stable over the evaluation and forecast sample or modeled as time-varying. Prior work has considered whether there were sizable parameter changes in the early 1980s and in the subsequent period until the beginning of the new century. This paper conducts a similar analysis focused on the period since the recent crisis. Using a range of techniques, we provide substantial evidence against parameter stability. The evolution of the unemployment rate seems particularly different relative to its past behavior. We also evaluate alternative methods to handle parameter instability in a forecasting context.

Identifier
DOI https://doi.org/10.15456/jae.2022326.0704825818
Metadata Access https://www.da-ra.de/oaip/oai?verb=GetRecord&metadataPrefix=oai_dc&identifier=oai:oai.da-ra.de:775447
Provenance
Creator Aastveit, Knut Are; Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano
Publisher ZBW - Leibniz Informationszentrum Wirtschaft
Publication Year 2017
Rights Creative Commons Attribution 4.0 (CC-BY); Download
OpenAccess true
Contact ZBW - Leibniz Informationszentrum Wirtschaft
Representation
Language English
Resource Type Collection
Discipline Economics