Structural vector autoregressive analysis
by Kilian, Lutz
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 method…
Read More ↓Title Statements
- Full title :Structural vector autoregressive analysis / Lutz Kilian, Helmut Lütkepohl.
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. --
Read More ↓Edition Statements
- Publication Date:2017
Publication Statements
- Publisher(s):Cambridge University Press
- Place of Publication:Cambridge
- Language:eng
- Publication Date:2017
The Physical Object
- Description:734 pages : : illustrations (black and white) ; : 23 cm.
Edition Identifiers
- ISBN:9781107196575, 1107196574, 9781316647332, 1316647331
- oclc:on1026922056
- Dewey Decimal:330.01519536
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