A Generalized Method of Moments Approach to Estimating a "structural Vector Autoregression" PDF Download

Author: Peter R. Hartley
Publisher:
ISBN:
Category : Autoregression (Statistics)
Languages : en
Pages : 84

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Author: Lutz Kilian
Publisher: Cambridge University Press
ISBN: 1108186874
Category : Business & Economics
Languages : en
Pages : 757

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Book Description
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.

Author: Laszlo Matyas
Publisher: Cambridge University Press
ISBN: 9780521669672
Category : Business & Economics
Languages : en
Pages : 332

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The generalized method of moments (GMM) estimation has emerged as providing a ready to use, flexible tool of application to a large number of econometric and economic models by relying on mild, plausible assumptions. The principal objective of this volume is to offer a complete presentation of the theory of GMM estimation as well as insights into the use of these methods in empirical studies. It is also designed to serve as a unified framework for teaching estimation theory in econometrics. Contributors to the volume include well-known authorities in the field based in North America, the UK/Europe, and Australia. The work is likely to become a standard reference for graduate students and professionals in economics, statistics, financial modeling, and applied mathematics.

Author: Ralf Brüggemann
Publisher: Springer Science & Business Media
ISBN: 3642170293
Category : Mathematics
Languages : en
Pages : 226

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Book Description
1. 1 Objective of the Study Vector autoregressive (VAR) models have become one of the dominant research tools in the analysis of macroeconomic time series during the last two decades. The great success of this modeling class started with Sims' (1980) critique of the traditional simultaneous equation models (SEM). Sims criticized the use of 'too many incredible restrictions' based on 'supposed a priori knowledge' in large scale macroeconometric models which were popular at that time. Therefore, he advo cated largely unrestricted reduced form multivariate time series models, unrestricted VAR models in particular. Ever since his influential paper these models have been employed extensively to characterize the underlying dynamics in systems of time series. In particular, tools to summarize the dynamic interaction between the system variables, such as impulse response analysis or forecast error variance decompo sitions, have been developed over the years. The econometrics of VAR models and related quantities is now well established and has found its way into various textbooks including inter alia Llitkepohl (1991), Hamilton (1994), Enders (1995), Hendry (1995) and Greene (2002). The unrestricted VAR model provides a general and very flexible framework that proved to be useful to summarize the data characteristics of economic time series. Unfortunately, the flexibility of these models causes severe problems: In an unrestricted VAR model, each variable is expressed as a linear function of lagged values of itself and all other variables in the system.

Author: Lutz Kilian
Publisher: Cambridge University Press
ISBN: 1107196574
Category : Business & Economics
Languages : en
Pages : 757

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Book Description
This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.

Author: Cheng Hsiao
Publisher: Cambridge University Press
ISBN: 1009076604
Category : Business & Economics
Languages : en
Pages : 539

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Book Description
Now in its fourth edition, this comprehensive introduction of fundamental panel data methodologies provides insights on what is most essential in panel literature. A capstone to the forty-year career of a pioneer of panel data analysis, this new edition's primary contribution will be the coverage of advancements in panel data analysis, a statistical method widely used to analyze two or higher-dimensional panel data. The topics discussed in early editions have been reorganized and streamlined to comprehensively introduce panel econometric methodologies useful for identifying causal relationships among variables, supported by interdisciplinary examples and case studies. This book, to be featured in Cambridge's Econometric Society Monographs series, has been the leader in the field since the first edition. It is essential reading for researchers, practitioners and graduate students interested in the analysis of microeconomic behavior.

Author: Compiled by the British Library of Political and Economic Science
Publisher: Psychology Press
ISBN: 9780415240093
Category : Business & Economics
Languages : en
Pages : 660

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Book Description
IBSS is the essential tool for librarians, university departments, research institutions and any public or private institution whose work requires access to up-to-date and comprehensive knowledge of the social sciences

Author: Charlie Karlsson
Publisher: Edward Elgar Publishing
ISBN: 0857932675
Category : Social Science
Languages : en
Pages : 661

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Book Description
The main purpose of this Handbook is to provide overviews and assessments of the state-of-the-art regarding research methods, approaches and applications central to economic geography. The chapters are written by distinguished researchers from a variet

Author:
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 596

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Author: Juan J. Dolado
Publisher: Emerald Group Publishing
ISBN: 1803826371
Category : Business & Economics
Languages : en
Pages : 200

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Book Description
Both parts of Volume 44 of Advances in Econometrics pay tribute to Fabio Canova for his major contributions to economics over the last four decades.