The Robustness of Identified Var Conclusions about Money
نویسندگان
چکیده
This paper presents a new way to assess robustness of claims from identi ed VAR work. All possible identi cations are checked for the one that is worst for the claim, subject to the restriction that the VAR produce reasonable impulse responses to shocks. The statistic on which the claim is based need not be identi ed; thus, one can assess claims in large models using minimal restrictions. The technique reveals only weak support for the claim that monetary policy shocks contribute a small portion of the forecast error variance of post-War U.S. output in standard 6-variable and 13-variable models.
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