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Hamilton, J.D. and Herrera, A. (2004) Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy. Journal of Money, Credit, and Banking, 36, 265-286.
https://doi.org/10.1353/mcb.2004.0012

has been cited by the following article:

• TITLE: Does the Biased Coefficient Problem Plague the VAR Model?

  AUTHORS: Yunyun Lv

  KEYWORDS: Impulse Response Functions, The Biased Estimated Coefficients

  JOURNAL NAME: Theoretical Economics Letters, Vol.7 No.3, April 13, 2017

  ABSTRACT: This paper documents evidence to investigate if the explanatory variables are always correlated with the error term in the vector autoregression (VAR) model because of the property of the VAR model. I use Christiano et al. (CEE, 2005) as an example to examine this argument empirically. According to the findings of this paper, the impulse responses provided by the structural VAR model may be derived from the biased estimates if we allow variables to be correlated with each other through different horizons. It remains possible for a skeptic to maintain some dominant views inferred from the biased coefficients of the SVAR models.