Topics in structural VAR econometrics.
This book is a second revised and enlarged edition of the book which appeared as No. 381 of the Springer Series on ``Lecture Notes in Economics and Mathematical Systems, see the review Zbl 0754.62089. In Chapter 1, the authors introduce the main concepts of VAR analysis. Chapters 2 to 4 contain discussion on identification and estimation for the three different models. Chapter 5 discusses impulse response analysis and forecast error variance decomposition in SVAR modelling. Chapter 6 includes details about how to use SVAR analysis in the presence of cointegrated series. Model selection in SVAR analysis is discussed in Chapter 7. The problem of non fundamental representations is discussed in Chapter 8. Chapter 9 discusses two applications of SVAR analysis. The book is mostly of interest to econometricians who are already familiar with the problems.
- Topics in structural VAR econometrics
- Structural models and econometrics
- Structural econometric models
- scientific article; zbMATH DE number 4013835
- scientific article; zbMATH DE number 47261
- Structural VAR models in the frequency domain
- Recent developments in the econometrics of structural change
- Structural econometric modeling and time series analysis
- Topics in structural VAR econometrics
- Empirical vector autoregressive modeling
- Model reduction methods for vector autoregressive processes.
- Pythagorean generalization of testing the equality of two symmetric positive definite matrices
- The impact of US uncertainty shocks on small open economies
- Impact factors
- Bayesian stochastic search for VAR model restrictions
- On the statistical identification of DSGE models
- From a var model to a structural model, with an application to the wage–price spiral
- Bayesian testing of restrictions on vector autoregressive models
- Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions
- Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks
- scientific article; zbMATH DE number 1834002 (Why is no real title available?)
- On explaining the surprising success of reservoir computing forecaster of chaos? The universal machine learning dynamical system with contrast to VAR and DMD
- The ontological status of shocks and trends in macroeconomics
- Structural vector autoregressive analysis
- An introductory review of a structural VAR-X estimation and applications
- Correction of Caporin and Paruolo (2015)
- THE NEUTRALITY OF NOMINAL RATES: HOW LONG IS THE LONG RUN?
- A new posterior sampler for Bayesian structural vector autoregressive models
- Estimation and inference of the forecast error variance decomposition for set-identified SVARs
- Identification of structural shocks in Bayesian vector error correction models with two-state Markov-switching heteroskedasticity
- Modeling the impact of real and financial shocks on Mercosur: The role of the exchange rate regime
- Structural vector autoregressions with Markov switching
- Structural vector autoregressive analysis for cointegrated variables
- Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity
This page was built for publication: Topics in structural VAR econometrics.
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4379566)
