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Topics in Structural VAR Econometrics Second, Revised and Enlarged Edition -- Copyright -- Foreword -- Contents -- Chapter 1 From VAR models to Structural VAR models -- Chapter 2 Identification analysis and F.I.M.L. estimation for the K-Model -- Chapter 3 Identification analysis and F.I.M.L. estimation for the C-Model -- Chapter 4 Identification analysis and F.I.M.L. estimation for the AB-Model -- Chapter 5. Impulse response analysis and forecast error variance decomposition in SVAR modelling -- Chapter 6. Long run a priori information. Deterministic components. Cointegration -- Chapter 7 Model selection in Structural VAR analysis -- Chapter 8 The problem of non fundamental representations -- Chapter 9 Two applications of Structural VAR analysis -- ANNEX 1 The notions of reduced form and structure in Structural VAR modelling -- ANNEX 2 Some considerations on the semantics, choice and management of the K, C and AB-models -- APPENDIX A -- APPENDIX B -- APPENDIX C -- REFERENCES.
In: Springer eBook Collection
This book provides a new approach to the identification and the estimation of structural VAR models. The role of deterministic variables and the connection with the concept of cointegration is discussed at length. The book also provides criteria to select among alternative structures. In addition, the asymptotic distributions of the structural estimates of impulse response functions and forecast error variance decomposition coefficients are obtained and used to construct asymptotically based confidence intervals around the maximum likelihood estimates. Moreover, the book contains a critical evaluation of the problem of non-fundamental representations and of their relevance on the interpretability of the results of structural VAR analysis. Finally, the book contains applied examples
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