Topics in Structural VAR Econometrics
Giannini, Carlo.
Topics in Structural VAR Econometrics [electronic resource] / by Carlo Giannini. - 1st ed. 1992. - XI, 136 p. online resource. - Lecture Notes in Economics and Mathematical Systems, 381 0075-8442 ; . - Lecture Notes in Economics and Mathematical Systems, 381 .
1. Introduction -- 2. Identification Analysis and F.I.M.L. Estimation for the K-Model -- 3. Identification Analysis and F.I.M.L. Estimation for the C-Model -- 4. Identification Analysis and F.I.M.L. Estimation for the AB-Model -- 5. Impulse Response Analysis and Forecast Error Variance Decomposition in SVAR Modeling -- 6. Long-run A-priori Information. Deterministic Components. Cointegration -- 7. The Working of an AB-Model -- Annex 1: The Notions of Reduced Form and Structure in Structural VAR Modeling -- Annex 2: Some Considerations on the Semantics, Choice and Management of the K, C and AB-Models -- Appendix A -- Appendix B -- Appendix C (by Antonio Lanzarotti and Mario Seghelini) -- Appendix D (by Antonio Lanzarotti and Mario Seghelini) -- References.
1. Introduction 1 2. Identification Analysis and F.I.M.L. Estimation for the K-Mode1 10 3. Identification Analysis and F.I.ML. Estimation for the C-Model 23 4. Identification Analysis and F.I.M.L. Estimation for the AB-Model 32 5. Impulse Response Analysis and Forecast Error Variance Decomposition in SVAR Modeling 44 5 .a Impulse Response Analysis 44 5.b Variance Decomposition (by Antonio Lanzarotti) 51 6. Long-run A-priori Information. Deterministic Components. Cointegration 58 6.a Long-run A-priori Information 58 6.b Deterministic Components 62 6.c Cointegration 65 7. The Working of an AB-Model 71 Annex 1: The Notions ofReduced Form and Structure in Structural VAR Modeling 83 Annex 2: Some Considerations on the Semantics, Choice and Management of the K, C and AB-Models 87 Appendix A 93 Appendix B 96 Appendix C (by Antonio Lanzarotti and Mario Seghelini) 99 Appendix D (by Antonio Lanzarotti and Mario Seghelini) 109 References 128 Foreword In recent years a growing interest in the structural VAR approach (SVAR) has followed the path-breaking works by Blanchard and Watson (1986), Bemanke (1986) and Sims (1986), especially in U.S. applied macroeconometric literature. The approach can be used in two different, partially overlapping directions: the interpretation ofbusiness cycle fluctuations of a small number of significantmacroeconomic variables and the identification of the effects of different policies.
9783662027578
10.1007/978-3-662-02757-8 doi
Economic theory.
Statistics .
Economic Theory/Quantitative Economics/Mathematical Methods.
Statistics, general.
HB1-846.8
330.1
Topics in Structural VAR Econometrics [electronic resource] / by Carlo Giannini. - 1st ed. 1992. - XI, 136 p. online resource. - Lecture Notes in Economics and Mathematical Systems, 381 0075-8442 ; . - Lecture Notes in Economics and Mathematical Systems, 381 .
1. Introduction -- 2. Identification Analysis and F.I.M.L. Estimation for the K-Model -- 3. Identification Analysis and F.I.M.L. Estimation for the C-Model -- 4. Identification Analysis and F.I.M.L. Estimation for the AB-Model -- 5. Impulse Response Analysis and Forecast Error Variance Decomposition in SVAR Modeling -- 6. Long-run A-priori Information. Deterministic Components. Cointegration -- 7. The Working of an AB-Model -- Annex 1: The Notions of Reduced Form and Structure in Structural VAR Modeling -- Annex 2: Some Considerations on the Semantics, Choice and Management of the K, C and AB-Models -- Appendix A -- Appendix B -- Appendix C (by Antonio Lanzarotti and Mario Seghelini) -- Appendix D (by Antonio Lanzarotti and Mario Seghelini) -- References.
1. Introduction 1 2. Identification Analysis and F.I.M.L. Estimation for the K-Mode1 10 3. Identification Analysis and F.I.ML. Estimation for the C-Model 23 4. Identification Analysis and F.I.M.L. Estimation for the AB-Model 32 5. Impulse Response Analysis and Forecast Error Variance Decomposition in SVAR Modeling 44 5 .a Impulse Response Analysis 44 5.b Variance Decomposition (by Antonio Lanzarotti) 51 6. Long-run A-priori Information. Deterministic Components. Cointegration 58 6.a Long-run A-priori Information 58 6.b Deterministic Components 62 6.c Cointegration 65 7. The Working of an AB-Model 71 Annex 1: The Notions ofReduced Form and Structure in Structural VAR Modeling 83 Annex 2: Some Considerations on the Semantics, Choice and Management of the K, C and AB-Models 87 Appendix A 93 Appendix B 96 Appendix C (by Antonio Lanzarotti and Mario Seghelini) 99 Appendix D (by Antonio Lanzarotti and Mario Seghelini) 109 References 128 Foreword In recent years a growing interest in the structural VAR approach (SVAR) has followed the path-breaking works by Blanchard and Watson (1986), Bemanke (1986) and Sims (1986), especially in U.S. applied macroeconometric literature. The approach can be used in two different, partially overlapping directions: the interpretation ofbusiness cycle fluctuations of a small number of significantmacroeconomic variables and the identification of the effects of different policies.
9783662027578
10.1007/978-3-662-02757-8 doi
Economic theory.
Statistics .
Economic Theory/Quantitative Economics/Mathematical Methods.
Statistics, general.
HB1-846.8
330.1