MACROECONOMICS AND REALITY

By Christopher A. Sims. 1977

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Citations in the corpus

Causal Discovery from Temporally Aggregated Time Series (2017, methodology): “In the linear case, Granger causal analysis Granger (1969) can be done by fitting the following first-order VAR model (Sims, 1980): xt = Axt−1 + et, (1) where xt = (xt,1, xt,2, ..., xt,n)ᵀ is the vector of the observed data, et = (et,1, ..., et,n)ᵀ is the temporally and contemporaneously…”
Autoregressive Convolutional Neural Networks for Asynchronous Time Series (2017, methodology): “For these reasons, we propose Signiﬁcance-Offset Convolutional Neural Network , a Convolutional Network extension of standard autoregressive models Sims (1972, 1980) equipped with a nonlinear weighting mechanism and provide empirical evidence on its competitiveness with standard multilayer CNN and…”
Sufficient information in structural VARs (2014, background): “Since Sims (1980)’s seminal paper, Structural Vector Autoregression (SVAR) models have become extremely popular for structural and policy analysis.”
Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference (2010, background): “Since the seminal work by Sims (1980), identiﬁcation of structural vector autoregressions (SVARs) has been an unresolved theoretical issue.”
Financial intermediaries, financial stability, and monetary policy (2008, unknown): “In this exercise, we make no structural assumptions and instead examine the embedded empirical relationships by conducting a VAR exercise in the spirit of Sims (1980).”
Entrepreneurship and the Business Cycle (2012, unknown): “Based on the estimates from equation (1), we compute orthogonalized impulse response functions (Sims, 1980) that allow us to investigate the thought experiment of how a random shock in entrepreneurship affects real GDP and unemployment in a later phase, holding everything else constant.”
Identifying the interdependence between US monetary policy and the stock market (2005, unknown): “The VAR approach has also been influential in the analysis of monetary policy effects in more standard macroeconomic analysis, starting with Sims (1980).”
Bayesian Multivariate Time Series Methods for Empirical Macroeconomics (2010, unknown): “Many di¤erent multivariate time series models have been used in macroeconomics, but since the pioneering work of Sims (1980) , Vector Autoregressive (VAR) models have been among the most popular.”
Comparing Dynamic Equilibrium Models to Data (2001, methodology): “Vector Autoregressions models, a simple linear statistical representation of the dynamic relations among variables, have a proven forecasting record (Litterman (1986)) and have been often proposed as alternatives to a more structural modelling of time series (Sims (1980) 7 .”
Competition in the Cryptocurrency Market (2014, unknown): “Given the limitations of our data, we are restricted to testing for predictability or causality in the narrow, technical sense formalized by Granger (1969) and Sims (1980).”