A note on the Cogley-Nason-Sims approach


Hussain, Syed M and Liu, Lin ORCID: 0000-0002-8222-7625 (2016) A note on the Cogley-Nason-Sims approach. Economics Letters, 146. pp. 77-81.

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Abstract

In evaluating an economic model with Structural Vector Auto-Regression (SVAR), the Cogley–Nason–Sims (CNS) approach compares impulse responses estimated from empirical data with those obtained from the identical SVAR run on model generated data. Using Monte-Carlo simulations, this paper examines small sample performance of the CNS approach.

Item Type: Article
Uncontrolled Keywords: Cogley–Nason–Sims approach, Small sample properties, Structural Vector Auto-Regression, Identification, Monte-Carlo simulation
Depositing User: Symplectic Admin
Date Deposited: 25 Jul 2016 14:26
Last Modified: 19 Jan 2023 07:33
DOI: 10.1016/j.econlet.2016.06.036
Related URLs:
URI: https://livrepository.liverpool.ac.uk/id/eprint/3002512
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