William D. Lastrapes

Overview

William D. Lastrapes is an economist at the Terry College of Business, University of Georgia. His research focuses on VAR methodology, monetary economics, and macroeconometrics. He is known for developing the diagonality-plus-block-exogeneity framework for estimating and identifying large-scale structural VARs.

Key Contributions / Features

• Lastrapes (2005): Efficient estimation and structural identification of large-scale VARs under mutual independence of micro variables conditional on common factors (diagonal $A_{11}^h$) and block exogeneity of aggregate variables ($A_{21}^h = 0$); shows OLS is fully efficient and identification requires restrictions only on the aggregate sub-system; published in Economics Letters 87: 75–81.
• Loo-Lastrapes (1998): Identified the effects of money supply shocks on industry-level output using block-structured VARs; motivating application for the 2005 methodology.

Related

• Vector Autoregression
• Structural Identification
• Estimating and Identifying Vector Autoregressions under Diagonality and Block Exogeneity Restrictions