Christopher A. Sims

Christopher A. Sims is an American economist whose work shaped macroeconometrics, especially vector autoregressions and the analysis of monetary policy. He shared the 2011 Nobel Memorial Prize in Economic Sciences.

Vector autoregression: A statistical model that represents several time series as functions of their own and one another’s past values. Sims made this flexible framework central to empirical macroeconomics.
Impulse response function: A description of how a model’s variables change over time after an identified shock. VAR analysis uses these responses to trace the effects of monetary and other shocks.
Policy analysis with econometric models: The evaluation of economic policies using estimated relationships among economic variables. Sims’s critique reshaped expectations about what empirical models can establish about policy.
Thomas J. Sargent: An American economist known for research on rational expectations, monetary policy, and macroeconomic theory. Sargent shared the 2011 economics prize with Sims for related empirical research.
Rational expectations: An economic hypothesis that expectations use available information in a way consistent with the model. Sims challenged how this assumption was imposed in large macroeconomic models.
Forecast error variance decomposition: A method that attributes portions of a model’s forecast uncertainty to different shocks. It complements impulse responses by quantifying shocks’ contributions to variation.
Lucas critique: The argument that policy changes can alter economic behavior, making historical statistical relationships unreliable for policy evaluation. Sims’s skepticism about policy models shared its concern with unstable, poorly justified relationships.
Robert E. Lucas Jr.: An American economist who developed influential theories of rational expectations and economic policy. Lucas’s critique and expectations framework formed a central backdrop to Sims’s work.
Macroeconometrics: The use of statistical and econometric methods to study aggregate economic data. This is the field in which Sims developed influential empirical methods.
Structural vector autoregression: A vector autoregression augmented with identifying restrictions to distinguish economically interpreted shocks. It adds causal interpretation to the reduced-form VAR framework Sims helped popularize.

Linked from 2 pages

Clive GrangerCompared with: Sims’s structural approach to macroeconomic causation contrasts with Granger’s predictive definition.