**Abstract:** VARs typically employ the same number of lags for each
variable. Consequently, they often estimate many insignificant coefficients.
The "asymmetric VAR" (AVAR), defined as a VAR for which each variable may
have a unique number of lags, is shown to be the reduced form for a general
linear structure. A particular economic structure is developed to compare
and contrast parameter estimates from AVAR and VAR specifications. Qualitatively
similar results are obtained from each model. The AVARs have standard errors
that are frequently smaller than the VAR, suggesting AVARs may obtain more
efficient parameter estimates. Important questions about macroeconomic
structure are addressed with these models.