Have Standard VARS Remained Stable Since the Crisis?
检验了金融危机后标准向量自回归模型的参数稳定性，发现参数存在显著不稳定，尤其是失业率的行为与过去不同，并评估了处理参数不稳定的预测方法。
Summary Small vector autoregressions are commonly used in macroeconomics for forecasting and evaluating shock transmission. This requires VAR parameters to be stable over the evaluation and forecast sample or modeled as time‐varying. Prior work has considered whether there were sizable parameter changes in the early 1980s and in the subsequent period until the beginning of the new century. This paper conducts a similar analysis focused on the period since the recent crisis. Using a range of techniques, we provide substantial evidence against parameter stability. The evolution of the unemployment rate seems particularly different relative to its past behavior. We also evaluate alternative methods to handle parameter instability in a forecasting context. Copyright © 2016 John Wiley & Sons, Ltd.