Structural Vector Autoregressive Analysis (Themes in Modern Econometrics) - Softcover

Kilian, Lutz

Softcover

ISBN 10: 1316647331 ISBN 13: 9781316647332

Publisher: Cambridge University Press, 2017

Synopsis

This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.

About this title

About the Authors

Lutz Kilian is Professor of Economics at the University of Michigan, Ann Arbor. Between 2001 and 2003 he served as an adviser to the European Central Bank in Frankfurt am Main, Germany. Professor Kilian has been a research visitor at the Federal Reserve Board, the Bank of Canada, the European Central Bank, and the International Monetary Fund. His work has appeared in Econometrica, the American Economic Review, and the Journal of Political Economy. He has served as associate editor of the Journal of Business and Economic Statistics, among other journals.

Helmut Lütkepohl has held professorial positions at Universität Hamburg, the Christian-Albrechts-Universität zu Kiel, Germany, the Humboldt-Universität zu Berlin, the European University Institute, Florence, and the Freie Universität Berlin. He has served as Dean of the Graduate Center of the Deutsches Institut für Wirtschaftsforschung, Berlin. He has published professional articles in Econometrica, the Journal of Econometrics, the Journal of Business and Economic Statistics, Econometric Theory, and the Journal of Applied Econometrics. He has also served as associate editor of the Journal of Econometrics, Econometric Theory, Macroeconomic Dynamics, the Journal of Applied Econometrics, and Econometric Reviews. He is the author of New Introduction to Multiple Time Series Analysis (2010).

Edition details

• Publisher: Cambridge University Press
• Publication date: 2017
• Language: English
• ISBN 10: 1316647331
• ISBN 13: 9781316647332
• Binding: Paperback
• Number of pages: 754