Topics in Structural Var Econometrics （2ND）

Amisano, G./ Giannini, C.

Springer-Verlag Berlin and Heidelberg GmbH & Co. K（1997/01発売）

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製本 Hardcover:ハードカバー版／ページ数 194 p.
言語 ENG
商品コード 9783540619420
DDC分類 330.015195

基本説明

Originally published as volume 381 in the series Lecture Notes in Economics and Mathematical Systems.

Full Description

This text provides an 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. A critical evaluation of the problem of non-fundamental representations and of their relevance on the intretation of the results of structural VAR analysis is given. Applied examples are also provided throughout.

From VAR models to structural VAR models; identification analysis and FIML etsimation for the K-model; identification analysis and FIML etsimation for the C-model; identification analysis and FIML etsimation 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.