Cambridge University Press eBooks· 2017· Book chapter
Structural Vector Autoregressive Analysis
- 1,044citations
- 2017year
Short summary
This book provides a practical guide to structural vector autoregressive (VAR) models, reviewing alternative approaches, their pros and cons, and offering guidance on estimation and evaluation for empirical researchers.
AI-generated from the title and abstract; the full text is not read.
Key points
- Reviews alternative structural VAR approaches and their practical pros and cons.
- Provides guidance on appropriate modeling choices, estimation, and evaluation methods.
- Contrasts structural VAR methodology with other common approaches like DSGE models.
- Focuses on enhancing reader understanding of methods and assumptions rather than rigorous theory.
AI-generated from the title and abstract; the full text is not read.
Abstract
Structural vector autoregressive (VAR) models are important tools for empirical work in macroeconomics, finance, and related fields. This book not only reviews the many alternative structural VAR approaches discussed in the literature, but also highlights their pros and cons in practice. It provides guidance to empirical researchers as to the most appropriate modeling choices, methods of estimating, and evaluating structural VAR models. The book traces the evolution of the structural VAR methodology and contrasts it with other common methodologies, including dynamic stochastic general equilibrium (DSGE) models. It is intended as a bridge between the often quite technical econometric literature on structural VAR modeling and the needs of empirical researchers. The focus is not on providing the most rigorous theoretical arguments, but on enhancing the reader's understanding of the methods in question and their assumptions. Empirical examples are provided for illustration.
The authors' abstract, as published at the source. Cambridge University Press eBooks, 2017 · DOI ↗
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Field: General Economics, Econometrics and Finance
General Economics, Econometrics and FinanceEconomics, Econometrics and Finance