Article ID Journal Published Year Pages File Type
5057997 Economics Letters 2016 5 Pages PDF
Abstract

In evaluating an economic model with Structural Vector Auto-Regression (SVAR), the Cogley-Nason-Sims (CNS) approach compares impulse responses estimated from empirical data with those obtained from the identical SVAR run on model generated data. Using Monte-Carlo simulations, this paper examines small sample performance of the CNS approach.

Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
A note on the Cogley-Nason-Sims approach
Authors
, ,