Abstract
Christopher Sims is one of the leaders in time-series econometrics and empirical
macroeconomics and is well known for introducing the VAR approach to
econometrics and macroeconomic modelling. Sims’ main contribution to empirical
macroeconomics was to show how macro-econometric modeling should be revised
so as to meet the Lucas Critique test. The VAR approach did not imply the
abandoning of theory but only the involvement of theory that is ‘as light as
possible.’ It shifted the focus from theoretical identification restrictions to identifying the main characteristics of the time series data, hence a shift of focus from theory to data.
macroeconomics and is well known for introducing the VAR approach to
econometrics and macroeconomic modelling. Sims’ main contribution to empirical
macroeconomics was to show how macro-econometric modeling should be revised
so as to meet the Lucas Critique test. The VAR approach did not imply the
abandoning of theory but only the involvement of theory that is ‘as light as
possible.’ It shifted the focus from theoretical identification restrictions to identifying the main characteristics of the time series data, hence a shift of focus from theory to data.
| Original language | English |
|---|---|
| Title of host publication | The New Palgrave Dictionary of Economics. Online Edition |
| Editors | Steven Durlauf, Lawrence Blume |
| Publisher | Palgrave Macmillan |
| Number of pages | 10 |
| Edition | Online |
| DOIs | |
| Publication status | Published - 2015 |
| Externally published | Yes |
Keywords
- Bayesian econometrics
- Cowles Commission
- Cowles Foundation
- DSGE
- dynamic stochastic general equilibrium
- econometrics
- economic policy
- forecasting
- Frisch
- Granger causality
- identification
- Liu
- Lucas
- macroeconometrics
- macroeconomic model
- rational expectations
- Sargent
- structural VAR
- time series analysis
- Tinbergen
- VAR