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Topics in Structural VAR Econometrics /

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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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Bibliographic Details
Main Author: Amisano, Gianni
Corporate Author: SpringerLink (Online service)
Other Authors: Giannini, Carlo
Format: eBook
Language:English
Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 1997.
Edition:Second, rev. and enlarged edition.
Subjects:
Economics.
Electronic books.
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • 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.