Topics in Structural Var Econometrics (Lecture Notes in Economics & Mathematical Systems) - Softcover

Softcover

ISBN 10: 0387552626 ISBN 13: 9780387552620

Synopsis

This monograph deals with the most recent development of vector autoregressive econometric modelling - the Structural Vector Autoregressive (SVAR) approach. Three different types of models, which encompass all the models used so far in the SVAR literature, are analyzed using a full-information likelihood-based set-up and linear constraints of the more general form. Identification analysis and estimation of these models are carried out using compact formulae coming from an application of some new tools in matrix differential analysis. Using approximation theorems of mathematical statistics, the asymptotic distributions of impulse response and forecast error variance decomposition functions are analytically derived, avoiding the use of bootstrapping and Monte Carlo integration techniques. The monograph also contains a qualitative discussion of the results of an exercise on Italian data and two procedures implementing identification, estimation and simulation phases according to the proposed approach.

Edition details

• Language: English
• ISBN 10: 0387552626
• ISBN 13: 9780387552620
• Binding: Paperback