How to Estimate a VAR after March 2020
收藏NBER2020-09-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w27771
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资源简介：
This paper illustrates how to handle a sequence of extreme observationssuch as those recorded during the COVID-19 pandemicwhen estimating a Vector Autoregression, which is the most popular time-series model in macroeconomics. Our results show that the ad-hoc strategy of dropping these observations
提供机构：
美国国家经济研究局
创建时间：
2020-09-01
