Lutz Kilian (Ann Arbor University of Michigan), Helmut Lutkepohl (Freie Universitat Berlin)

Broschiertes Buch

Structural Vector Autoregressive Analysis

Beschreibung

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.

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.

Produktdetails

• Themes in Modern Econometrics
• Verlag: Cambridge University Press
• Seitenzahl: 756
• Erscheinungstermin: 6. März 2019
• Englisch
• Abmessung: 229mm x 152mm x 45mm
• Gewicht: 1085g
• ISBN-13: 9781316647332
• ISBN-10: 1316647331
• Artikelnr.: 48399145

Rezensionen

'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