[PDF] Topics In Structural Var Econometrics eBook

Author : Carlo Giannini
Publisher : Springer Science & Business Media
Page : 144 pages
File Size : 35,92 MB
Release : 2013-11-11
Category : Business & Economics
ISBN : 3662027577

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1. Introduction 1 2. Identification Analysis and F.I.M.L. Estimation for the K-Mode1 10 3. Identification Analysis and F.I.ML. Estimation for the C-Model 23 4. Identification Analysis and F.I.M.L. Estimation for the AB-Model 32 5. Impulse Response Analysis and Forecast Error Variance Decomposition in SVAR Modeling 44 5 .a Impulse Response Analysis 44 5.b Variance Decomposition (by Antonio Lanzarotti) 51 6. Long-run A-priori Information. Deterministic Components. Cointegration 58 6.a Long-run A-priori Information 58 6.b Deterministic Components 62 6.c Cointegration 65 7. The Working of an AB-Model 71 Annex 1: The Notions ofReduced Form and Structure in Structural VAR Modeling 83 Annex 2: Some Considerations on the Semantics, Choice and Management of the K, C and AB-Models 87 Appendix A 93 Appendix B 96 Appendix C (by Antonio Lanzarotti and Mario Seghelini) 99 Appendix D (by Antonio Lanzarotti and Mario Seghelini) 109 References 128 Foreword In recent years a growing interest in the structural VAR approach (SVAR) has followed the path-breaking works by Blanchard and Watson (1986), Bemanke (1986) and Sims (1986), especially in U.S. applied macroeconometric literature. The approach can be used in two different, partially overlapping directions: the interpretation ofbusiness cycle fluctuations of a small number of significantmacroeconomic variables and the identification of the effects of different policies.

Author : Lutz Kilian
Publisher :
Page : pages
File Size : 43,22 MB
Release : 2017
Category : Autoregression (Statistics)
ISBN :

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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, 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.

Author : Lutz Kilian
Publisher : Cambridge University Press
Page : 757 pages
File Size : 27,49 MB
Release : 2017-11-23
Category : Business & Economics
ISBN : 1107196574

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This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.

Author : Burcu Adıgüzel Mercangöz
Publisher : Springer Nature
Page : 465 pages
File Size : 20,50 MB
Release : 2021-02-17
Category : Business & Economics
ISBN : 3030541088

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This handbook presents emerging research exploring the theoretical and practical aspects of econometric techniques for the financial sector and their applications in economics. By doing so, it offers invaluable tools for predicting and weighing the risks of multiple investments by incorporating data analysis. Throughout the book the authors address a broad range of topics such as predictive analysis, monetary policy, economic growth, systemic risk and investment behavior. This book is a must-read for researchers, scholars and practitioners in the field of economics who are interested in a better understanding of current research on the application of econometric methods to financial sector data.

Author : Steven Durlauf
Publisher : Springer
Page : 417 pages
File Size : 49,76 MB
Release : 2016-04-30
Category : Business & Economics
ISBN : 0230280838

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Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.

Author : Olaf Hübler
Publisher : Springer Science & Business Media
Page : 236 pages
File Size : 40,14 MB
Release : 2007-04-29
Category : Business & Economics
ISBN : 3540326936

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In this book leading German econometricians in different fields present survey articles of the most important new methods in econometrics. The book gives an overview of the field and it shows progress made in recent years and remaining problems.

Author : Helmut Lütkepohl
Publisher : Cambridge University Press
Page : 351 pages
File Size : 12,23 MB
Release : 2004-08-02
Category : Business & Economics
ISBN : 1139454730

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Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to cover the full range of methods in current use and explain how to proceed in applied domains. This gap in the literature motivates the present volume. The methods are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. Topics include: unit root and cointegration analysis, structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. Crucial to empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into existing software packages. Therefore a flexible Java interface has been created, allowing readers to replicate the applications and conduct their own analyses.

Author : Carlo A. Favero
Publisher : Oxford University Press, USA
Page : 310 pages
File Size : 42,15 MB
Release : 2001
Category : Business & Economics
ISBN : 9780198296850

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The objective of this book is the discussion and the practical illustration of techniques used in applied macroeconometrics. There are currently three competing approaches: the LSE (London School of Economics) approach, the VAR approach, and the intertemporal optimization/Real Business Cycle approach. This book discusses and illustrates the empirical research strategy of these three alternative approaches, pairing them with extensive discussions and replications of the relevant empirical work. Common benchmarks are used to evaluate the alternative approaches.