Structural vector autoregressive analysis:
Structural vector autoregressive (VAR) models are important tools for empirical work in macroeconomics, finance, and related fields. This book not only reviews the many alternative structural VAR approaches discussed in the literature, but also highlights their pros and cons in practice. It provides...
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| Main Authors: | , |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Cambridge
Cambridge University Press
2017
|
| Series: | Themes in modern econometrics
|
| Subjects: | |
| Links: | https://doi.org/10.1017/9781108164818 https://doi.org/10.1017/9781108164818 https://doi.org/10.1017/9781108164818 https://doi.org/10.1017/9781108164818 https://doi.org/10.1017/9781108164818 https://doi.org/10.1017/9781108164818 https://doi.org/10.1017/9781108164818 |
| Summary: | Structural vector autoregressive (VAR) models are important tools for empirical work in macroeconomics, finance, and related fields. This book not only reviews the many alternative structural VAR approaches discussed in the literature, but also highlights their pros and cons in practice. It provides guidance to empirical researchers as to the most appropriate modeling choices, methods of estimating, and evaluating structural VAR models. The book traces the evolution of the structural VAR methodology and contrasts it with other common methodologies, including dynamic stochastic general equilibrium (DSGE) models. It is intended as a bridge between the often quite technical econometric literature on structural VAR modeling and the needs of empirical researchers. The focus is not on providing the most rigorous theoretical arguments, but on enhancing the reader's understanding of the methods in question and their assumptions. Empirical examples are provided for illustration |
| Physical Description: | Online-Ressoruce (xx, 735 Seiten) Diagramme |
| ISBN: | 9781108164818 |
| DOI: | 10.1017/9781108164818 |
Staff View
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| spelling | Kilian, Lutz Verfasser (DE-588)130444812 aut Structural vector autoregressive analysis Lutz Kilian (University of Michigan), Helmut Lütkepohl (DIW and Freie Universität Berlin) Cambridge Cambridge University Press 2017 Online-Ressoruce (xx, 735 Seiten) Diagramme txt rdacontent c rdamedia cr rdacarrier Themes in modern econometrics Structural vector autoregressive (VAR) models are important tools for empirical work in macroeconomics, finance, and related fields. This book not only reviews the many alternative structural VAR approaches discussed in the literature, but also highlights their pros and cons in practice. It provides guidance to empirical researchers as to the most appropriate modeling choices, methods of estimating, and evaluating structural VAR models. The book traces the evolution of the structural VAR methodology and contrasts it with other common methodologies, including dynamic stochastic general equilibrium (DSGE) models. It is intended as a bridge between the often quite technical econometric literature on structural VAR modeling and the needs of empirical researchers. The focus is not on providing the most rigorous theoretical arguments, but on enhancing the reader's understanding of the methods in question and their assumptions. Empirical examples are provided for illustration Econometric models Autoregression (Statistics) Regression analysis Monetary policy Econometric models Regressionsanalyse (DE-588)4129903-6 gnd rswk-swf Strukturelles vektor-autoregressives Modell (DE-588)4288535-8 gnd rswk-swf Makroökonomie (DE-588)4037174-8 gnd rswk-swf (DE-588)4123623-3 Lehrbuch gnd-content Strukturelles vektor-autoregressives Modell (DE-588)4288535-8 s Regressionsanalyse (DE-588)4129903-6 s Makroökonomie (DE-588)4037174-8 s DE-604 Lütkepohl, Helmut 1951- Verfasser (DE-588)10979544X aut Erscheint auch als Druck-Ausgabe, Hardcover 978-1-107-19657-5 Erscheint auch als Druck-Ausgabe, Paperback 978-1-316-64733-2 https://doi.org/10.1017/9781108164818 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Kilian, Lutz Lütkepohl, Helmut 1951- Structural vector autoregressive analysis Econometric models Autoregression (Statistics) Regression analysis Monetary policy Econometric models Regressionsanalyse (DE-588)4129903-6 gnd Strukturelles vektor-autoregressives Modell (DE-588)4288535-8 gnd Makroökonomie (DE-588)4037174-8 gnd |
| subject_GND | (DE-588)4129903-6 (DE-588)4288535-8 (DE-588)4037174-8 (DE-588)4123623-3 |
| title | Structural vector autoregressive analysis |
| title_auth | Structural vector autoregressive analysis |
| title_exact_search | Structural vector autoregressive analysis |
| title_full | Structural vector autoregressive analysis Lutz Kilian (University of Michigan), Helmut Lütkepohl (DIW and Freie Universität Berlin) |
| title_fullStr | Structural vector autoregressive analysis Lutz Kilian (University of Michigan), Helmut Lütkepohl (DIW and Freie Universität Berlin) |
| title_full_unstemmed | Structural vector autoregressive analysis Lutz Kilian (University of Michigan), Helmut Lütkepohl (DIW and Freie Universität Berlin) |
| title_short | Structural vector autoregressive analysis |
| title_sort | structural vector autoregressive analysis |
| topic | Econometric models Autoregression (Statistics) Regression analysis Monetary policy Econometric models Regressionsanalyse (DE-588)4129903-6 gnd Strukturelles vektor-autoregressives Modell (DE-588)4288535-8 gnd Makroökonomie (DE-588)4037174-8 gnd |
| topic_facet | Econometric models Autoregression (Statistics) Regression analysis Monetary policy Econometric models Regressionsanalyse Strukturelles vektor-autoregressives Modell Makroökonomie Lehrbuch |
| url | https://doi.org/10.1017/9781108164818 |
| work_keys_str_mv | AT kilianlutz structuralvectorautoregressiveanalysis AT lutkepohlhelmut structuralvectorautoregressiveanalysis |