Large panels of variables are used by policy makers in deciding on policy actions. Therefore it is desirable to include large information sets in models for economic analysis. In this survey methods are reviewed for accounting for the information in large sets of variables in vector...

Identification of shocks of interest is a central problem in structural vector autoregressive (SVAR) modelling. Identification is often achieved by imposing restrictions on the impact or long-run effects of shocks or by considering sign restrictions for the impulse responses. In a number of...

Economic agents using information that is not incorporated in the econometric model is seen as a possible reason for why nonfundamental shocks are important in econometric models. Allowing for nonfundamental shocks in structural vector autoregressive (SVAR) analysis by considering moving average...