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中文摘要：
模型是实证宏观经济学研究的一项标志性成果,用于分析经济系统的因果关系,关注的是宏观经济冲击的识别问题。早期传统的结构方程从经济理论出发对宏观经济现象进行解释和预测,但由于在预测现实经济方面结果并不稳定,遭致理论界的批评。西姆斯在指出传统方法缺陷的基础上,以客观数据为对象提出了模型,打破了经济学的传统实证研究范式,成为实证宏观经济学因果分析的经典方法,并因此获得2011年度诺贝尔经济学奖。文章通过分析比较主要宏观经济计量方法的原理与应用,系统地梳理了模型的经济学思想及其演进路径。
英文摘要：
The Vector Autoregression （VAR） Model is a symbolic achievement in empirical macroeconomic study. It is used to analyze causalities in the economic system and focus on identification issues in the macroeconomic shock. Based on economic theories, early traditional structural equations are used to interpret and forecast macroeconomic phenomena. But because the outcomes in forecasting the real economy are not stable, early traditional structural equations are criticized by the theoretical circle. Sims, who points out flaws of traditional methods and uses objective data, raises the VAR model which breaks the traditional empirical study paradigm in economy and becomes the classic method of causality analysis in empirical macroeconomics. He is thus awarded Nobel Economy Prize in 2011. This paper, by comparing principles and applications of main econometric methods, systematically summarizes economic ideas and evolutional paths of the VAR model.
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