A note on the Cogley–Nason–Sims approach
2016
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.
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