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The Early Millennium Slowdown: Replicating the Peersman (2005) Results

Grant, Angelia

Description

This paper undertakes both a narrow and wide replication of the constant coefficients vector autoregression (VAR) identified with sign restrictions considered by Peersman (Journal of Applied Econometrics 2005; 20(2): 185-207. His results for the US are robust to an increase in the sample period from 2002:Q2 to 2014:Q2, but the extension to time-varying parameters highlights the importance of testing the robustness of results against time variation. In particular, there are differences across...[Show more]

CollectionsANU Research Publications
Date published: 2015
Type: Journal article
URI: http://hdl.handle.net/1885/70929
Source: Journal of Applied Econometrics
DOI: 10.1002/jae.2474

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