Topics in Structural VAR Econometrics

by Gianni Amisano, Carlo Giannini

This book provides a new approach to the identification and the estimation of structural VAR models. The role of deterministic variables and the connection with the concept of cointegration is discussed at length. The book also provides criteria to select among alternative structures. In addition, the asymptotic distributions of the structural estimates of impulse response functions and forecast error variance decomposition coefficients are obtained and used to construct asymptotically based confidence intervals around the maximum likelihood estimates. Moreover, the book contains a critical evaluation of the problem of non-fundamental representations and of their relevance on the interpretability of the results of structural VAR analysis. Finally, the book contains applied examples

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Year of publication:	1997 ; Second, Revised and Enlarged Edition
Authors:	Amisano, Gianni ; Giannini, Carlo
Publisher:	Berlin, Heidelberg : Springer Berlin Heidelberg
Subject:	Ökonometrie \| Econometrics \| Theorie \| Theory \| VAR-Modell \| VAR model \| Schätzung \| Estimation

Extent:	Online-Ressource (XIII, 181p. 13 illus) online resource
Type of publication:	Book / Working Paper
Language:	English
Notes:	l: From VAR models to Structural VAR models1.1. Origins of VAR modelling -- 1.2. Basic concepts of VAR analysis -- 1.3. Efficient estimation: the BVAR approach -- 1.4. Uses of VAR models -- 1.5. Different classes of Structural VAR models -- 1.6. The likelihood function for SVAR models -- 1.7. Structural VAR models vs. dynamic simultaneous equations models -- 1.8. Some examples of Structural VARs in the applied literature -- 2: Identification analysis and F.I.M.L. estimation for the K-Model -- 2.1. Identification analysis -- 2.2. F.I.M.L. estimation -- 3: Identification analysis and F.I.M.L. estimation for the C-Model -- 3.1. Identification analysis -- 3.2. F.I.M.L. estimation -- 4: Identification analysis and F.I.M.L. estimation for the AB-Model -- 4.1. Identification analysis -- 4.2. F.I.M.L. estimation -- 5: Impulse response analysis and forecast error variance decomposition in SVAR modeling -- 5.1. Impulse response analysis -- 5.2. Variance decomposition (by Antonio Lanzarotti) -- 5.3. Finite sample and asymptotic distributions for dynamic simulations -- 6: Long run a priori information. Deterministic components. Cointegration -- 6.1. Long run a priori information -- 6.2. Deterministic components -- 6.3. Cointegration -- 7: Model selection in Structural VAR analysis -- 7.1. General aspects of the model selection problem -- 7.2. The dominance ordering criterion -- 7.3. The likelihood dominance criterion (LDC) -- 8: The problem of non fundamental representations -- 8.1. Non fundamental representations in time series models -- 8.2. Economic significance of non fundamental representations and examples -- 8.3. Non fundamental representations and applied SVAR analysis -- 8.4. An example -- 9: Two applications of Structural VAR analysis -- 9.1. A traditional interpretation of Italian macroeconomic fluctuations -- 9.2. The transmission mechanism among Italian interest rates -- Annex 1: The notions of reduced form and structure in Structural VAR modelling -- Annex 2: Some considerations on the semantics, choice and management of the K, C, and AB-models -- Appendix A -- Appendix B -- Appendix C (by Antonio Lanzarotti and Mario Seghelini) -- References.
ISBN:	978-3-642-60623-6 ; 978-3-642-64481-8
Other identifiers:	10.1007/978-3-642-60623-6 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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