Structural Vector Autoregressive Analysis

Business & Finance, Economics, Econometrics, Statistics
Cover of the book Structural Vector Autoregressive Analysis by Lutz Kilian, Helmut Lütkepohl, Cambridge University Press
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Lutz Kilian, Helmut Lütkepohl ISBN: 9781108186872
Publisher: Cambridge University Press Publication: November 23, 2017
Imprint: Cambridge University Press Language: English
Author: Lutz Kilian, Helmut Lütkepohl
ISBN: 9781108186872
Publisher: Cambridge University Press
Publication: November 23, 2017
Imprint: Cambridge University Press
Language: English

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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

More books from Cambridge University Press

Cover of the book Controlling Climate Change by Lutz Kilian, Helmut Lütkepohl
Cover of the book Repeated Games by Lutz Kilian, Helmut Lütkepohl
Cover of the book Finding our Place in the Solar System by Lutz Kilian, Helmut Lütkepohl
Cover of the book How Biology Shapes Philosophy by Lutz Kilian, Helmut Lütkepohl
Cover of the book Evolutionary Psychology by Lutz Kilian, Helmut Lütkepohl
Cover of the book Managing International Business in China by Lutz Kilian, Helmut Lütkepohl
Cover of the book The Cambridge Companion to British Poetry, 1945–2010 by Lutz Kilian, Helmut Lütkepohl
Cover of the book Numerical Analysis Using R by Lutz Kilian, Helmut Lütkepohl
Cover of the book Incentives by Lutz Kilian, Helmut Lütkepohl
Cover of the book Sleep, Stroke and Cardiovascular Disease by Lutz Kilian, Helmut Lütkepohl
Cover of the book Engaging with C. H. Dodd on the Gospel of John by Lutz Kilian, Helmut Lütkepohl
Cover of the book The Cambridge Companion to Elizabeth Gaskell by Lutz Kilian, Helmut Lütkepohl
Cover of the book Ecological Imperialism by Lutz Kilian, Helmut Lütkepohl
Cover of the book Medieval Trinitarian Thought from Aquinas to Ockham by Lutz Kilian, Helmut Lütkepohl
Cover of the book The Law of International Lawyers by Lutz Kilian, Helmut Lütkepohl
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy