Vector Autoregressions, Policy Analysis, and Directed Acyclic Graphs: An Application to the U.S. Economy
| dc.creator | Awokuse, Titus O. | |
| dc.creator | Bessler, David A. | |
| dc.date | 2017-04-01T19:33:37Z | |
| dc.date.accessioned | 2026-07-09T04:34:41Z | |
| dc.description | 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. | |
| dc.identifier | Other:Print ISSN 1514-0326 | |
| dc.identifier | Other:Online ISSN 1667-6726 | |
| dc.identifier | doi:10.22004/ag.econ.44001 | |
| dc.identifier | https://ageconsearch.umn.edu/record/44001/files/awokuse.pdf | |
| dc.identifier | http://ageconsearch.umn.edu/record/44001 | |
| dc.identifier.uri | http://hdl.handle.net/123456789/551943 | |
| dc.language | eng | |
| dc.publisher | ||
| dc.source | http://ageconsearch.umn.edu/record/44001 | |
| dc.title | Vector Autoregressions, Policy Analysis, and Directed Acyclic Graphs: An Application to the U.S. Economy | |
| dc.type | Text |