Structural Vector Autoregressive Analysis

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Sprache: Englisch

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Beschreibung

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

Über den Autor

Lutz Kilian is Professor of Economics at the University of Michigan, Ann Arbor. Between 2001 and 2003 he served as an adviser to the European Central Bank in Frankfurt am Main, Germany. Professor Kilian has been a research visitor at the Federal Reserve Board, the Bank of Canada, the European Central Bank, and the International Monetary Fund. His work has appeared in Econometrica, the American Economic Review, and the Journal of Political Economy. He has served as associate editor of the Journal of Business and Economic Statistics, among other journals.

Inhaltsverzeichnis

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 macroeconometric models; 7. A historical perspective on causal inference in macroeconometrics; 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; References; Index.

Erscheinungsjahr:	2019
Fachbereich:	Allgemeines
Genre:	Importe , Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Taschenbuch
ISBN-13:	9781316647332
ISBN-10:	1316647331
Sprache:	Englisch
Ausstattung / Beilage:	Paperback
Einband:	Kartoniert / Broschiert
Autor:	Kilian, Lutz Lütkepohl, Helmut
Hersteller:	Cambridge University Press
Verantwortliche Person für die EU:	Books on Demand GmbH, In de Tarpen 42, D-22848 Norderstedt, info@bod.de
Maße:	229 x 152 x 45 mm
Von/Mit:	Lutz Kilian (u. a.)
Erscheinungsdatum:	06.03.2019
Gewicht:	1,206 kg

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