Structural Vector Autoregressive Analysis (9781316647332)

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.

Product details

• Format Paperback | 754 pages
• Dimensions 151 x 227 x 41mm | 1,060g
• Publication date 06 Mar 2019
• Publisher Cambridge University Press
• Publication City/Country Cambridge, United Kingdom
• Language English
• Illustrations note Worked examples or Exercises; 40 Line drawings, black and white
• ISBN10 1316647331
• ISBN13 9781316647332
• Bestsellers rank 554,395

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