Description: 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.
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EAN: 9781107196575
UPC: 9781107196575
ISBN: 9781107196575
MPN: N/A
Book Title: Structural Vector Autoregressive Analysis (Themes
Item Length: 24.1 cm
Number of Pages: 754 Pages
Language: English
Publication Name: Structural Vector Autoregressive Analysis
Publisher: Cambridge University Press
Publication Year: 2017
Subject: Economics
Item Height: 235 mm
Item Weight: 1140 g
Type: Textbook
Author: Helmut Lutkepohl, Lutz Kilian
Item Width: 157 mm
Format: Hardcover
