Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 17, 2022 erstellt
Beschreibung:
This paper proposes a new and direct approach to Kilian--Lewis counterfactual analysis in structural VAR models. The proposed approach is easy to implement, and the process of model construction is more transparent. Practitioners conducting Kilian--Lewis counterfactual analysis should find the proposed approach novel and useful. We successfully replicate the counterfactual responses in Kilian and Lewis (2011) using the proposed approach