Abstract
Christopher Sims is one of the leaders in time-series econometrics and empirical macroeconomics and is well known for introducing the VAR approach to econometrics and macroeconomic modelling. Sims’ main contribution to empirical macroeconomics was to show how macro-econometric modeling should be revised so as to meet the Lucas Critique test. The VAR approach did not imply the abandoning of theory but only the involvement of theory that is ‘as light as possible.’ It shifted the focus from theoretical identification restrictions to identifying the main characteristics of the time series data, hence a shift of focus from theory to data.
This chapter was originally published in The New Palgrave Dictionary of Economics, Online edition, 2012. Edited by Palgrave Macmillan
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Selected Works
Leeper, E.M., and C. Sims. 1994. Toward a modern macroeconomic model usable for policy analysis. NBER Macroeconomics Annual 9: 81–117.
Sargent, T., and Sims, C. 1977. Business cycle modeling without pretending to have too much a priori theory. In New methods in business cycle research: Proceedings from a conference, ed. C. Sims. Federal Reserve Bank of Minneapolis.
Sims, C. 1967. Evaluating short-term macro-economic forecasts: The Dutch performance. The Review of Economics and Statistics 49(2): 225–236.
Sims, C. 1971a. Discrete approximation to continuous time distributed lags in econometrics. Econometrica 39: 545–563.
Sims, C. 1971b. Distributed lag estimation when the parameter-space is explicitly infinite-dimensional. Annals of Mathematical Statistics 42: 1622–1636.
Sims, C. 1972a. The role of approximate prior restrictions in distributed lag estimation. Journal of the American Statistical Association 67(337): 169–175.
Sims, C. 1972b. Money, income, and causality. The American Economic Review 62(4): 540–552.
Sims, C. 1980a. Comparison of interwar and postwar business cycles: Monetarism reconsidered. The American Economic Review 70(2), Papers and Proceedings: 250–257.
Sims, C. 1980b. Macroeconomics and reality. Econometrica 48(1): 1–48.
Sims, C. 1982. Policy analysis with econometric models. Brookings Papers on Economic Activity 1982(1): 107–152.
Sims, C. 1986. Are forecasting models usable for policy analysis? Quarterly Review of the Minneapolis Federal Reserve Bank 10: 2–16.
Sims, C. 1996. Macroeconomics and methodology. Journal of Economic Perspectives 10(1): 105–120.
Sims, C. 2012. Statistical modeling of monetary policy and its effects. Prize Lecture. Available at: http://www.nobelprize.org/nobel_prizes/economics/laureates/2011/simslecture.html
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Boumans, M. (2012). Sims, Christopher Albert (Born 1942). In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95121-5_2944-1
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DOI: https://doi.org/10.1057/978-1-349-95121-5_2944-1
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