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Zusatztext Advance praise: 'Structural vector autoregressions (SVARs) are an essential tool in empirical macroeconomics. This book provides a thorough and long-overdue digest of a literature that has been thriving for over 35 years and seen a lot of exciting developments in the past decade. The authors masterfully blend theoretical foundations! guidance for practitioners! and detailed empirical applications. This is a must-read for anyone working with SVARs.' Frank Schorfheide! University of Pennsylvania Informationen zum Autor 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). Klappentext This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields. Zusammenfassung Structural vector autoregressive (VAR) models are widely used in many fields of economics. This book traces the evolution of the structural VAR approach and reviews its econometric foundations. It provides guidance to empirical researchers as to the most appropriate methods of estimating and evaluating structural VAR models. Inhaltsverzeichnis 1. Introduction; 2. Vector autoregressive models; 3. Vector error correction models; 4. Structural VAR tools; 5. Bayesian VAR analysis; 6. The relationship between VAR models and other macroeconometric models; 7. A historical perspective on causal inference in macroeconometrics; 8. Identification by short-run restrictions; 9. Estimation subject to short-run restrictions; 10. Identification by long-run restrictions; 11. Estimation subject to long-run restrictions; 12. Inference in models identified by short-run or long-run restrictions; 13. Identification by sign restrictions; 14. Identification by heteroskedasticity or non-gaussianity; 15. Identification based on extraneous data; 16. Structural VAR analysis in a data-rich environment; 17. Nonfundamental shocks; 18. Nonlinear structural VAR models; 19. Practical issues related to trends, seasonality, and structural change; References; Index....
