Structural vector autoregressive analysis [electronic resource] / Lutz Kilian, Helmut Lutkepohl.
- 作者： Kilian, Lutz.
- 其他作者：
- 其他題名：
- Themes in modern econometrics.
- 出版： Cambridge : Cambridge University Press 2017.
- 叢書名： Themes in modern econometrics
- 主題： Econometric models. , Autoregression (Statistics) , Regression analysis. , Monetary policy--Econometric models.
- ISBN： 9781108164818 (electronic bk.) 、 9781107196575 (hardback) 、 9781316647332 (paperback)
- URL：
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- 一般註：Title from publisher's bibliographic system (viewed on 17 Nov 2017). 110年度臺灣學術電子書暨資料庫聯盟採購
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讀者標籤：
- 系統號： 000291406 | 機讀編目格式
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摘要註
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.