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Shiu-Sheng Chen

a direct approach to kilian--lewis style counterfactual analysis in var models (replication data)

This paper proposes a direct approach to Kilian--Lewis style counterfactual analysis in structural VAR models. The proposed approach is easy to implement, and the procedure of counterfactual construction is more transparent than the indirect approach. Practitioners conducting Kilian--Lewis style counterfactual analysis should find the proposed approach novel and useful. We successfully replicate the counterfactual responses in Kilian and Lewis (2011) using the proposed approach.

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Chen, Shiu-Sheng (2023): A direct approach to Kilian--Lewis style counterfactual analysis in VAR models (replication data). Version: 1. Journal of Applied Econometrics. Dataset. http://dx.doi.org/10.15456/jae.2023137.1517240201

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