Structural Vector Autoregressive Analysis Paperback / softback
by Lutz (University of Michigan, Ann Arbor) Kilian, Helmut (Freie Universitat Berlin) Lutkepohl
Part of the Themes in Modern Econometrics series
Paperback / softback
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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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Out of StockMore expected soonContact us for further information
- Format:Paperback / softback
- Pages:754 pages, Worked examples or Exercises; 40 Line drawings, black and white
- Publisher:Cambridge University Press
- Publication Date:23/11/2017
- Category:
- ISBN:9781316647332
Information
-
Out of StockMore expected soonContact us for further information
- Format:Paperback / softback
- Pages:754 pages, Worked examples or Exercises; 40 Line drawings, black and white
- Publisher:Cambridge University Press
- Publication Date:23/11/2017
- Category:
- ISBN:9781316647332