Topics in Structural VAR Econometrics
Опубликовано на портале: 30-07-2004
New York: Springer-Verlag, 2002
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.
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
Impulse response analysis and forecast error variance decomposition in
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.
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