Topics in structural VAR econometrics

MaRDI QIDQ1189544zbMATH OpenFDO

Authors Carlo Giannini

Publication date 18 September 1992

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

zbMATH Keywords

multivariate normal distributionidentificationestimationnonstationarymacroeconomic modelstationaryinvertible matricesrandom shocks\(AB\) model\(C\)-model\(K\)-modelfull information maximum likelihood methodsstructural VAR analysisSVAR models

Mathematics Subject Classification ID

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

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Cited in

(11)

• scientific article; zbMATH DE number 1834002 (Why is no real title available?)
• Aggregation of linear dynamic microeconomic models
• From a var model to a structural model, with an application to the wage–price spiral
• Structural analysis with multivariate autoregressive index models
• Identifiability of structural singular vector autoregressive models
• scientific article; zbMATH DE number 3905714 (Why is no real title available?)
• An introductory review of a structural VAR-X estimation and applications
• scientific article; zbMATH DE number 1122623 (Why is no real title available?)
• An alternative approach to estimation of structural vector error correction models with long-run restrictions
• Business cycle analysis and VARMA models
• The ontological status of shocks and trends in macroeconomics

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