© 1997

Topics in Structural VAR Econometrics


Table of contents

  1. Front Matter
    Pages i-xiii
  2. Gianni Amisano, Carlo Giannini
    Pages 1-28
  3. Gianni Amisano, Carlo Giannini
    Pages 29-39
  4. Gianni Amisano, Carlo Giannini
    Pages 40-47
  5. Gianni Amisano, Carlo Giannini
    Pages 48-59
  6. Gianni Amisano, Carlo Giannini
    Pages 78-106
  7. Gianni Amisano, Carlo Giannini
    Pages 107-113
  8. Gianni Amisano, Carlo Giannini
    Pages 114-130
  9. Gianni Amisano, Carlo Giannini
    Pages 131-150
  10. Back Matter
    Pages 151-181

About this book


In recent years a growing interest in the structural V AR approach (SV AR) has followed the path-breaking works by Blanchard and Watson (1986), Bernanke (1986) and Sims (1986), especially in the U.S. applied macroeconometric literature. The approach can be used in two different, partially overlapping, directions: the interpretation of business cycle fluctuations of a small number of significant macroeconomic variables and the identification of the effects of different policies. SV AR literature shows a common feature: the attempt to "organise", in a "structural" theoretical sense, instantaneous correlations among the relevant variables. In non-structural V AR modelling, instead, correlations are normally hidden in the variance­ covariance matrix of the V AR model innovations. of independent V AR analysis tries to isolate ("identify") a set shocks by means of a number of meaningful theoretical restrictions. The shocks can be regarded as the ultimate source of stochastic variation of the vector of variables which can all be seen as potentially endogenous. Looking at the development of SV AR literature we felt that it still lacked a formal general framework which could embrace the several types of models so far proposed for identification and estimation. This is the second edition of the book, which originally appeared as number 381 of the Springer series "Lecture notes in Economics of the first edition was Carlo and Mathematical Systems". The author Giannini.


Kointegration Regressionsanalyse Simulation cointegration econometrics integration modeling regression regression analysis simulations time series value-at-risk Ökonom Ökonometrie

Authors and affiliations

  1. 1.Dipartimento di Scienze EconomicheUniversità di BresciaBresciaItaly
  2. 2.Dipartimento di Economia Politica e Metodi QuantitativiUniversità di PaviaPaviaItaly

Bibliographic information

  • Book Title Topics in Structural VAR Econometrics
  • Authors Gianni Amisano
    Carlo Giannini
  • DOI
  • Copyright Information Springer-Verlag Berlin Heidelberg 1997
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Hardcover ISBN 978-3-540-61942-0
  • Softcover ISBN 978-3-642-64481-8
  • eBook ISBN 978-3-642-60623-6
  • Edition Number 2
  • Number of Pages XIII, 181
  • Number of Illustrations 0 b/w illustrations, 0 illustrations in colour
  • Additional Information Originally published as volume 381 in the series Lecture Notes in Economics
  • Topics Economic Theory/Quantitative Economics/Mathematical Methods
  • Buy this book on publisher's site
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