On Identifying Permanent and Transitory Shocks in VAR Models PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download On Identifying Permanent and Transitory Shocks in VAR Models PDF full book. Access full book title On Identifying Permanent and Transitory Shocks in VAR Models by Minxian Yang. Download full books in PDF and EPUB format.
Author: Minxian Yang
Publisher:
ISBN:
Category : Autoregression (Statistics)
Languages : en
Pages : 32
Get Book Here
Book Description
Author: Minxian Yang
Publisher:
ISBN:
Category : Autoregression (Statistics)
Languages : en
Pages : 32
Get Book Here
Book Description
Author: Katarina Juselius
Publisher: Oxford University Press, USA
ISBN: 0199285667
Category : Business & Economics
Languages : en
Pages : 478
Get Book Here
Book Description
This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of thecommon stochastic trends and the impulse response functions, providing in each case illustrations of applicability.This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory whilealso revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.
Author: Lutz Kilian
Publisher: Cambridge University Press
ISBN: 1108186874
Category : Business & Economics
Languages : en
Pages : 757
Get Book Here
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: Mr.Pau Rabanal
Publisher: International Monetary Fund
ISBN: 1451875657
Category : Business & Economics
Languages : en
Pages : 68
Get Book Here
Book Description
Our answer: Not so well. We reached that conclusion after reviewing recent research on the role of technology as a source of economic fluctuations. The bulk of the evidence suggests a limited role for aggregate technology shocks, pointing instead to demand factors as the main force behind the strong positive comovement between output and labor input measures.
Author: Nigar Hashimzade
Publisher: Edward Elgar Publishing
ISBN: 0857931024
Category : Business & Economics
Languages : en
Pages : 627
Get Book Here
Book Description
This comprehensive Handbook presents the current state of art in the theory and methodology of macroeconomic data analysis. It is intended as a reference for graduate students and researchers interested in exploring new methodologies, but can also be employed as a graduate text. The Handbook concentrates on the most important issues, models and techniques for research in macroeconomics, and highlights the core methodologies and their empirical application in an accessible manner. Each chapter is largely self-contained, whilst the comprehensive introduction provides an overview of the key statistical concepts and methods. All of the chapters include the essential references for each topic and provide a sound guide for further reading. Topics covered include unit roots, non-linearities and structural breaks, time aggregation, forecasting, the Kalman filter, generalised method of moments, maximum likelihood and Bayesian estimation, vector autoregressive, dynamic stochastic general equilibrium and dynamic panel models. Presenting the most important models and techniques for empirical research, this Handbook will appeal to students, researchers and academics working in empirical macro and econometrics.
Author: Jordi Galí
Publisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 50
Get Book Here
Book Description
Author: Lutz Kilian
Publisher: Cambridge University Press
ISBN: 1107196574
Category : Business & Economics
Languages : en
Pages : 757
Get Book Here
Book Description
This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.
Author: Anthony Garratt
Publisher: Oxford University Press (UK)
ISBN: 0199650462
Category : Business & Economics
Languages : en
Pages : 402
Get Book Here
Book Description
Providing a description of the state of modelling in global and national economies, this title introduces an approach to modelling that can readily be adopted for use in understanding how economies work and in generating forecasts for decision-makers and policy-makers alike.
Author: M. Hashem Pesaran
Publisher: Oxford University Press, USA
ISBN: 0198759983
Category : Business & Economics
Languages : en
Pages : 1095
Get Book Here
Book Description
The book describes and illustrates many advances that have taken place in a number of areas in theoretical and applied econometrics over the past four decades.
Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 9781589064539
Category : Business & Economics
Languages : en
Pages : 410
Get Book Here
Book Description
This book examines the challenges facing the international monetary and financial system, as well as the future role of the Bretton Woods institutions in addressing those challenges. The volume is based on the proceedings of a 2004 conference cosponsored by the Banco de Espana and the International Monetary Fund to commemorate the 60th anniversary of the Bretton Woods meetings in July 1944. The chapters look at global imbalances, exchange rate issues, debt in emerging economies, and innovations in private and multilateral lending.
