Model Reduction Methods for Vector Autoregressive Processes /

Vector Autoregressive (VAR) models have become one of the dominant tools for the empirical analysis of macroeconomic time series. Sometimes the flexibility of VAR models leads to overparameterized models, making accurate estimates of impulse responses and forecasts difficult. This book introduces a...

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Bibliographic Details

Main Author:	Brüggemann, Ralf
Corporate Author:	SpringerLink (Online service)
Format:	eBook
Language:	English
Published:	Berlin, Heidelberg : Springer Berlin Heidelberg, 2004.
Series:	Lecture notes in economics and mathematical systems ; 536.
Subjects:	Economics. Economics > Statistics. Econometrics. Electronic books. Statistics.
Online Access:	Connect to the full text of this electronic book