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题名/责任者:

Structural vector autoregressive analysis / Lutz Kilian, Helmut Lütkepohl.

出版发行项:

Cambridge, United Kingdom ; New York, NY, USA : Cambridge University Press, c2017.

ISBN:

1316647331

ISBN:

9781316647332

ISBN:

1107196574

ISBN:

9781107196575 :

载体形态项:

xx, 734 pages : illustrations ; 23 cm.

丛编说明:

Themes in modern econometrics

丛编统一题名:

Themes in modern econometrics.

个人责任者:

Kilian, Lutz, author.

论题主题:

Econometric models.

论题主题:

Autoregression (Statistics)

中图法分类号:

F224.0

书目附注:

Includes bibliographical references and indexes.

摘要附注:

Structural vector autoregressive (VAR) models are important tools for empirical work in macroeconomics, finance, and related fields. This book not only reviews the many alternative structural VAR approaches discussed in the literature, but also highlights their pros and cons in practice. It provides guidance to empirical researchers as to the most appropriate modeling choices, methods of estimating, and evaluating structural VAR models. The book traces the evolution of the structural VAR methodology and contrasts it with other common methodologies, including dynamic stochastic general equilibrium (DSGE) models. It is intended as a bridge between the often quite technical econometric literature on structural VAR modeling and the needs of empirical researchers. The focus is not on providing the most rigorous theoretical arguments, but on enhancing the reader's understanding of the methods in question and their assumptions. Empirical examples are provided for illustration. --

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