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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Amisano, Gianni
Otros Autores: Giannini, Carlo
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin, Heidelberg : Springer Berlin Heidelberg, 1997.
Edición:Second, rev. and enlarged edition.
Temas:
Economics.
Économie politique.
economics.
Economics
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Foreword
  • From VAR models to Structural VAR models
  • Identification analysis and F.I.M.L. estimation for the K-Model
  • Identification analysis and F.I.M.L. estimation for the C-Model
  • Identification analysis and F.I.M.L. estimation for the AB-model
  • Impulse response analysis and forecast error variance decomposition in SVAR modelling
  • Long Run a priori information. Deterministic Components. Cointegration
  • Model selection in Structural VAR analysis
  • The problem of non fundamental representations
  • Two applications of Structural VAR analysis
  • Annexes
  • Appendices.

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