Vector Autoregressions
评述向量自回归（VAR）在数据描述、预测、结构推断和政策分析四类任务中的应用，通过包含失业率、通胀和利率的三变量VAR示例说明方法差异，认为VAR在数据描述和预测上可靠，但在结构推断和政策分析上作用有限。
This paper critically reviews the use of vector autoregressions (VARs) for four tasks: data description, forecasting, structural inference, and policy analysis. The paper begins with a review of VAR analysis, highlighting the differences between reduced-form VARs, recursive VARs and structural VARs. A three variable VAR that includes the unemployment rate, price inflation and the short term interest rate is used to show how VAR methods are used for the four tasks. The paper concludes that VARs have proven to be powerful and reliable tools for data description and forecasting, but have been less useful for structural inference and policy analysis.