Structural Vector Autoregressive Analysis

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, Helmut Lütkepohl
Publisher: Cambridge University Press
Published: 11/23/2017
Pages: 754
Binding Type: Paperback
Weight: 2.21lbs
Size: 9.20h x 6.43w x 1.59d
ISBN13: 9781316647332
ISBN10: 1316647331
BISAC Categories:
- Business & Economics | Econometrics