Advertisement

Topics in Structural VAR Econometrics

  • Carlo Giannini

Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 381)

Table of contents

About this book

Introduction

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.

Keywords

Bootstrapping Likelihood Simulation Statistik Vector Autoregressive Models autoregressive Modelle econometrics integration mathematical statistics modeling statistics value-at-risk Ökonometrie

Authors and affiliations

  • Carlo Giannini
    • 1
  1. 1.Department of EconomicsUniversity of AnconaAnconaItaly

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-662-02757-8
  • Copyright Information Springer-Verlag Berlin Heidelberg 1992
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-540-55262-8
  • Online ISBN 978-3-662-02757-8
  • Series Print ISSN 0075-8442
  • Buy this book on publisher's site
Industry Sectors
Finance, Business & Banking