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VAR Modelling Approach and Cowles Commission Heritage

Author

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  • Duo Qin

    (Queen Mary, University of London)

Abstract

This paper examines the rise of the VAR approach from a historical perspective. It shows that the VAR approach arises as a systematic solution to the issue of 'model choice' bypassed by Cowles Commission (CC) researchers, and that the approach essentially inherits and enhances the CC legacy rather than abandons or opposes it. It argues that the approach is not so atheoretical as widely believed and that it helps reform econometrics by shifting research focus from measurement of given theories to identification/verification of data-coherent theories, and hence from confirmatory analysis to a mixture of confirmatory and exploratory analysis.

Suggested Citation

  • Duo Qin, 2006. "VAR Modelling Approach and Cowles Commission Heritage," Working Papers 557, Queen Mary University of London, School of Economics and Finance.
    • Handle: RePEc:qmw:qmwecw:557
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    File URL: https://www.qmul.ac.uk/sef/media/econ/research/workingpapers/2006/items/wp557.pdf
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    References listed on IDEAS

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    Cited by:

    1. Christopher L. Gilbert & Duo Qin, 2007. "Representation in Econometrics: A Historical Perspective," Working Papers 583, Queen Mary University of London, School of Economics and Finance.
    2. Christopher L. Gilbert & Duo Qin, 2007. "Representation in Econometrics: A Historical Perspective," Working Papers 583, Queen Mary University of London, School of Economics and Finance.

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    More about this item

    Keywords

    VAR; Macroeconometrics; Methodology; Rational expectations; Structural model;
    All these keywords.

    JEL classification:

    • B23 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Econometrics; Quantitative and Mathematical Studies
    • B40 - Schools of Economic Thought and Methodology - - Economic Methodology - - - General
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General

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