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Topics in Structural VAR Econometrics /
This book provides a new approach to the identification and the estimation of structural VAR models. The role of deterministic variables and the connection with the concept of cointegration is discussed at length. The book also provides criteria to select among alternative structures. In addition, t...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Berlin, Heidelberg :
Springer Berlin Heidelberg,
1997.
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| Edición: | Second, rev. and enlarged edition. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | This book provides a new approach to the identification and the estimation of structural VAR models. The role of deterministic variables and the connection with the concept of cointegration is discussed at length. The book also provides criteria to select among alternative structures. In addition, the asymptotic distributions of the structural estimates of impulse response functions and forecast error variance decomposition coefficients are obtained and used to construct asymptotically based confidence intervals around the maximum likelihood estimates. Moreover, the book contains a critical evaluation of the problem of non-fundamental representations and of their relevance on the interpretability of the results of structural VAR analysis. Finally, the book contains applied examples. |
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| Descripción Física: | 1 online resource (xiii, 181 pages 13 illustrations) |
| ISBN: | 9783642606236 3642606237 |