Macroeconomic Dynamics



MD INTERVIEW

AN INTERVIEW WITH CHRISTOPHER A. SIMS


LARS PETER HANSEN a1c1
a1 University of Chicago November 5, 2003

Abstract

Christopher Sims is a well-known intellectual leader in time-series econometrics and applied macroeconomics. Among his many honors and distinctions, he has been the President of the Econometric Society and he is a member of the National Academy of Sciences. He has made fundamental contributions to both statistical theory of time series and empirical macroeconomics. Sims' work is influential precisely because it was motivated by important problems in macroeconomics. Not only did Sims study questions of statistical approximation in abstract environments, he showed how to apply the resulting apparatus to a variety of specific problems confronting applied researchers. The applications include seasonality in economic time series, aggregation over time, and approximation in formulating statistical models with economic underpinnings. Moreover, Sims' contributions to causality in time series and to the development of vector autoregressive methods were complemented by an important body of empirical research. Sims has served as an effective advocate and critic of the extensively used vector autoregressive statistical methods. Motivated by his own and related empirical research, Sims is one of the leaders in rethinking how monetary policy should be modeled and reconsidering the channels by which monetary policy influences economic aggregates. This interview with Chris Sims gives an opportunity to explore further the context of many of these contributions. Sims typically has a unique perspective on many economic problems, a perspective that is articulated in his answers to a variety of questions.


Key Words: Causality; Vector Autoregression; Fiscal Theory of the Price Level; Bayesian Econometrics.

Correspondence:
c1 Address correspondence to: Lars Peter Hansen, Department of Economics, University of Chicago, 1126 E. 59th Street, Chicago, IL 60637, USA; e-mail: l-hansen@uchicago.edu.


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