The Early Millennium Slowdown: Replicating the Peersman (2005) Results

Angelia L. Grant

doi:10.1002/jae.2474

The Early Millennium Slowdown: Replicating the Peersman (2005) Results

Angelia L. Grant^*

^*Corresponding author for this work

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Abstract

This paper undertakes both a narrow and wide replication of the constant coefficients vector autoregression (VAR) identified with sign restrictions considered by Peersman (Journal of Applied Econometrics 2005; 20(2): 185–207. His results for the US are robust to an increase in the sample period from 2002:Q2 to 2014:Q2, but the extension to time-varying parameters highlights the importance of testing the robustness of results against time variation. In particular, there are differences across models regarding the role of individual shocks during the 2001 US slowdown.

Original language	English
Pages (from-to)	224-232
Number of pages	9
Journal	Journal of Applied Econometrics
Volume	32
Issue number	1
DOIs	https://doi.org/10.1002/jae.2474
Publication status	Published - 1 Jan 2017

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The Early Millennium Slowdown: Replicating the Peersman (2005) Results

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