Model reduction methods for vector autoregressive processes.

MaRDI QIDQ1420347zbMATH OpenFDO

Authors Ralf Brüggemann

Publication date 1 February 2004

Published in Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

zbMATH Keywords

economic time seriesmodel reductionVARvector autoregressive process

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to statistics (62-02) Parametric inference under constraints (62F30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Review text

This monograph, based on the author's dissertation, deals with data based methods for reducing the number of VAR (vector autoregressive process) parameters by imposing parameter restrictions. The author proposes and investigates different strategies that are designated to find individual exclusion restrictions on the VAR coefficients. This is done for different VAR modeling classes that are popular in applied econometrics. The objective of the study is to find out whether these procedures can be used as practical methods for limiting the growth in the number of parameters, which is an unconvenient property of (unrestricted) VAR models. Chapter 2 (Model Reduction in VAR Models) considers a number of statistical model reduction methods for stationary VAR models and investigates their properties by Monte Carlo experiments. Chapter 3 (Model Reduction in Cointegrated VAR Models) deals with model reduction strategies specifically designed for cointegrated VAR models. Chapter 4 (Model Reduction and Structural Analysis) analyzes these procedures in the context of SVAR models (Structural VAR). Finally, Chapter 5 (Empirical Applications) presents two empirical case studies: macroeconomic effects of monetary policy shocks on the U.S. economy, and macroeconomic causes of unemployment in Germany.

Recommendations

• Structural vector autoregressive analysis
• Structural analysis with multivariate autoregressive index models
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• Empirical vector autoregressive modeling
• scientific article; zbMATH DE number 1122623

Cited in

(9)

• Subset selection for vector autoregressive processes using Lasso
• The relation of the CCA subspace method to a balanced reduction of an autoregressive model.
• Structural analysis with multivariate autoregressive index models
• Model reduction via the internally balanced state space representation
• Random Forest Variable Selection for Sparse Vector Autoregressive Models
• Forecast mean squared error reduction in the VAR(1) process
• Structural vector autoregressive analysis
• Vector autoregression and envelope model
• On subset least squares estimation and prediction in vector autoregressive models with exogenous variables

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