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AN INTERVIEW WITH CHRISTOPHER A. SIMS

  • LARS PETER HANSEN (a1)
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.

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Corresponding author
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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BassettoM. 2002 A game-theoretic view of the fiscal theory of the price level Econometrica 70, 21672195.

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MehraY.P. 1978 Is money exogenous in money-demand equations Journal of Political Economy 86 (2, p. 1), 211228.

SimsC.A. 1967 Evaluating short-term macroeconomic forecasts: The Dutch performance Review of Economics and Statistics 49, 225236.

SimsC.A. 1969 A theoretical basis for double-deflation of value added Review of Economics and Statistics 51, 470471.

SimsC.A. 1971a Discrete approximation to continuous time distributed lags in econometrics Econometrica 39, 545563.

SimsC.A. 1971b Distributed lag estimation when the parameter-space is explicitly infinite-dimensional Annals of Mathematical Statistics 42, 16221636.

SimsC.A. 1972b The role of approximate prior restrictions in distributed lag estimation Journal of the American Statistical Association 67 (337), 169175.

SimsC.A. 1974 Seasonality in regression Journal of the American Statistical Association 69 (347), 618626.

SimsC.A. 1980b Macroeconomics and reality Econometrica 48, 148.

SimsC.A. 1998 Stickiness Carnegie-Rochester Conference Series on Public Policy 49, 317356.

SimsC.A. 2002 The role of models and probabilities in the monetary policy process Brookings Papers on Economic Activity 2002 (2), 162.

SimsC.A. 2003 Implications of rational inattention Journal of Monetary Economics 50, 665690.

SimsC.A. & H.D.Uhlig 1991 Understanding unit rooters: A helicopter tour Econometrica 59, 15911599.

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Macroeconomic Dynamics
  • ISSN: 1365-1005
  • EISSN: 1469-8056
  • URL: /core/journals/macroeconomic-dynamics
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