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Twenty Years of Time Series Econometrics in Ten Pictures
2017
Journal of Economic Perspectives
T wenty years ago, empirical macroeconomists shared some common understandings. One was that a dynamic causal effect-for example, the effect on output growth of the Federal Reserve increasing the federal funds rate-is properly conceived as the effect of a shock, that is, of an unanticipated autonomous change linked to a specific source. Following Sims (1980) , the use of vector autoregressions to estimate the dynamic causal effect of shocks on economic variables was widespread. There was also
doi:10.1257/jep.31.2.59
fatcat:4qafeks2yzhjpej4thdcbitl3i