Structural Vector Autoregressive Analysis

Lutz Kilian, Helmut Lütkepohl

ISBN 10: 1107196574 / ISBN 13: 9781107196575

Verlag: Cambridge University Press, GB, 2017

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. Bestandsnummer des Verkäufers LU-9781107196575

Inhaltsangabe:

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

Über die Autorin bzw. 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.

Bibliografische Details

Titel: Structural Vector Autoregressive Analysis
Verlag: Cambridge University Press, GB
Erscheinungsdatum: 2017
Einband: Hardback
Zustand: New