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Journal of Applied Economics >
Volume 06, Number 2, November 2003 >
Please use this identifier to cite or link to this item:
http://purl.umn.edu/44001
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| Title: | Vector Autoregressions, Policy Analysis, and Directed Acyclic Graphs: An Application to the U.S. Economy |
| Authors: | Awokuse, Titus O.
Bessler, David A. |
| Keywords: | vector autoregression
directed graphs
policy analysis |
| JEL Codes: | C1
E1 |
| Issue Date: | 2003-05 |
| Abstract: | The paper considers the use of directed acyclic graphs (DAGs), and their construction from observational data with PC-algorithm TETRAD II, in providing over-identifying restrictions on the innovations from a vector autoregression. Results from Sims’ 1986 model of the US economy are replicated and compared using these data-driven techniques. The directed graph results show Sims’ six-variable VAR is not rich enough to provide an unambiguous ordering at usual levels of statistical significance. A significance level in the neighborhood of 30 % is required to find a clear structural ordering. Although the DAG results are in agreement with Sims’ theory-based model for unemployment, differences are noted for the other five variables: income, money supply, price level, interest rates, and investment. Overall the DAG results are broadly consistent with a monetarist view with adaptive expectations and no hyperinflation. |
| URI: | http://purl.umn.edu/44001 |
| Identifiers: | Print ISSN 1514-0326
Online ISSN 1667-6726 |
| Institution/Association: | Journal of Applied Economics>Volume 6, Number 2, November 2003 |
| Total Pages: | 24 |
| From Page: | 1 |
| To Page: | 24 |
| Collections: | Volume 06, Number 2, November 2003
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Size | Format |
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| awokuse.pdf | | 165Kb | PDF | View/Open |
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