Скачать или смотреть Macroeconomics and Reality: An Empirical Critique of Vector Autoregression This passage originates

Nobel Prize in Economics Papers Series：
宏观经济学与现实：向量自回归的实证批判

Macroeconomics and Reality: An Empirical Critique of Vector Autoregression This passage originates from Christopher A. Sims's seminal 1980 paper, Macroeconomics and Reality. Sims sharply criticized the "a priori constraints" widely used in large-scale macroeconomic models at the time, arguing that these constraints, imposed to achieve model "identification," often lacked scientific basis and were unreliable. The paper delves into how dynamics, serial correlation, and rational expectations further complicate the identification of macroeconomic variables. Sims points out that traditional identification methods often fail when faced with real-world data due to the intervention of expectations. Through case studies of supply and demand models and firm investment behavior, he reveals the limitations of existing models in parameter estimation. Ultimately, the paper recommends that economists should be cautious in classifying exogenous variables and seek a more realistic and less constrained empirical research method.