Hendry, David F. and Mizon, Grayham E. (2001) Reformulating empirical macroeconometric modelling. Oxford Review of Economic Policy 16.4 (Winter 2000): p138(2).
The theory of forecasting is considered in the context of the role of rational expectations, the testing of economic theories and the serious flaws in impulse-response methods of evaluating policies.
Dhrymes, P., Thomakos, D., 1998. “Structural VAR, MARMA, and open economy models.”
International Journal of Forecasting 14, 187–198
Abstract: In this paper we examine a number of issues in the context of structural VAR and MARMA open economy macro models. In particular, we examine whether VAR or MARMA is the more appropriate specification; whether expectations are forward or backward looking, and whether a number of restrictions imposed on such models are supported by empirical evidence. Prior restrictions are imposed by means of Lagrange multipliers, which makes many of the tests noted above routine.
John W. Keating (1990) “Identifying VAR models under rational expectations”. Journal of Monetary Economics 25, Pages 453-476
Abstract: This paper shows that the exclusion restrictions used to identify structural vector autoregressions (SVARs) generally yield inconsistent parameter estimates under rational expectations. I develop an alternative method of identifying rational-expectations models within the SVAR framework that circumvents the need of imposing stringent identifying restrictions on the dynamic processes for technologies, preferences, and other mechanisms (e.g., adjustment costs). These strong restrictions may explain why rational-expectations models are frequently rejected by the data. Two empirical examples demonstrate the feasibility and potential advantages of this alternative modeling strategy.
Bennett T. McCallumv – 1983- “A reconsideration of Sims’ evidence concerning monetarism”
In VAR systems such as those of Sims (1980), monetary policy surprises may be more accurately represented by interest rate than money stock innovations, especially if the monetary authority uses an interest rate instrument.
See more: Researches of Bennett T. McCallum in Economics Letters