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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]

dc.contributor.authorGrant, Angelia
dc.date.accessioned2015-12-13T22:16:34Z
dc.identifier.issn0883-7252
dc.identifier.urihttp://hdl.handle.net/1885/70929
dc.description.abstractThis 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 models regarding the role of individual shocks during the 2001 US slowdown.
dc.publisherJohn Wiley & Sons Inc
dc.sourceJournal of Applied Econometrics
dc.titleThe Early Millennium Slowdown: Replicating the Peersman (2005) Results
dc.typeJournal article
local.description.notesImported from ARIES
dc.date.issued2015
local.identifier.absfor140102 - Macroeconomic Theory
local.identifier.ariespublicationa383154xPUB2474
local.type.statusPublished Version
local.contributor.affiliationGrant, Angelia, College of Asia and the Pacific, ANU
local.description.embargo2037-12-31
local.bibliographicCitation.startpage1
local.bibliographicCitation.lastpage9
local.identifier.doi10.1002/jae.2474
dc.date.updated2015-12-11T07:27:28Z
local.identifier.scopusID2-s2.0-84930989165
CollectionsANU Research Publications

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