Structural vector autoregressive analysis

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"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 and methods of estimating and evaluating structural VAR models. It is intended as a bridge between the often quite tech…

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Title Statements

Full title :Structural vector autoregressive analysis / Lutz Kilian, Helmut Lütkepohl.

Summary

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:xx, 735 pages : : illustrations ; : 23 cm.

Edition Identifiers

ISBN:1316647331, 9781316647332, 1107196574, 9781107196575
oclc:ocn975035922
LC Classification:HB141
Dewey Decimal:330.01/519536

1. Introduction -- 2. Vector autoregressive models -- 3. Vector error correction models -- 4. Structural VAR tools -- 5. Bayesian VAR analysis -- 6. The relationship between VAR models and other macroeconomic models -- 7. A historical perspective on causal inference in macroeconomics -- 8. Identification by short-run restrictions -- 9. Estimation subject to short-run restrictions -- 10. Identification by long-run restrictions -- 11. Estimation subject to long-run restrictions -- 12. Inference in models identified by short-run or long-run restrictions -- 13. Identification by sign restrictions -- 14. Identification by heteroskedasticity or non-Gaussianity -- 15. Identification based on extraneous data -- 16. Structural VAR analysis in a data-rich environment -- 17. Nonfundamental shocks -- 18. Nonlinear structural VAR models -- 19. Practical issues related to trends, seasonality, and structural change.