How to Advance Theory with Structural VARs: Use the Sims-Cogley-Nason Approach
NBER Working Paper No. 12575
---- Acknowledgements ----
This work is a response to the comments of Lawrence Christiano, Martin Eichenbaum, and Robert Vigfusson (forthcoming in the NBER Macroeconomics Annual 2006) on the critique of structural VARs with long-run restrictions by V.V. Chari, Patrick Kehoe, and Ellen McGrattan. The author thanks numerous economists including his coauthors, TimCogley, Jesus Fernandez-Villaverde, Bob Hall, Chris House, Narayana Kocherlakota, RicardoLagos, Monika Piazzesi, Juan Rubio-Ramirez, Tom Sargent, Martin Schneider, and Jim Stock for very helpful comments. The author also thanks the NSF for support and Kathy Rolfe and Joan Gieseke for excellent editorial assistance. Any views expressed here are those of the author and not necessarily those of the Federal Reserve Bank of Minneapolis or the Federal Reserve System, or the NBER.