{"product_id":"structural-vector-autoregressive-analysis-9781107196575","title":"Structural Vector Autoregressive Analysis","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003eStructural 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.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTrade Review\u003c\/b\u003e\u003cbr\u003e'The book by Kilian and Lütkepohl will become the new benchmark textbook for teaching structural vector autoregressive analysis. This book thus devotes considerable space to the issue of identification, including sign restrictions, to Bayesian methods, to Factor Vector Autoregressions and to non-fundamental shocks. These are key to understanding much of recent research. The authors do an excellent job of assembling and lucidly explaining it all. This book is destined to become a classic.' Harald Uhlig, University of Chicago\u003cbr\u003e'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\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e1. 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.","brand":"Cambridge University Press","offers":[{"title":"Default Title","offer_id":52084540408151,"sku":"9781107196575","price":145.35,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9781107196575.jpg?v=1762206738","url":"https:\/\/bookcurl.com\/products\/structural-vector-autoregressive-analysis-9781107196575","provider":"Book Curl","version":"1.0","type":"link"}