structural-vector-autoregressive-analysis

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Structural Vector Autoregressive Analysis

Author : Lutz Kilian
ISBN : 9781107196575
Genre : Business & Economics
File Size : 21. 32 MB
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This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.

Structural Vector Autoregressive Analysis For Cointegrated Variables

Author : Helmut Lütkepohl
ISBN : OCLC:535481977
Genre :
File Size : 85. 94 MB
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Structural Vector Autoregressive Analysis In A Datarich Environment

Author : Helmus Lütkepohl
ISBN : OCLC:1155600269
Genre :
File Size : 69. 75 MB
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Applied Time Series Econometrics

Author : Helmut Lütkepohl
ISBN : 0521547873
Genre : Business & Economics
File Size : 67. 44 MB
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A demonstration of how time series econometrics can be used in economics and finance.

Eastern And Southern Africa Monetary Integration

Author :
ISBN : OCLC:835430444
Genre :
File Size : 83. 8 MB
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Analysis Of Integrated And Cointegrated Time Series With R

Author : Bernhard Pfaff
ISBN : 9780387759678
Genre : Business & Economics
File Size : 86. 50 MB
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This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.

Italian Unemployment 1975 1995

Author : Mr.Charalambos Christofides
ISBN : 9781451845402
Genre : Business & Economics
File Size : 88. 14 MB
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This paper examines the determinants of Italian unemployment by estimating and utilizing a structural vector autoregressive (VAR) model. Both long-run and short-run macroeconomic determinants of unemployment are examined; the latter are analyzed in much greater detail than is customary in the literature. The relative contribution of long-run and short-run causes is quantified and the different time horizons over which they operate are identified. Policies affecting labor market performance are described and their effect estimated whenever data permit; policy implications are also drawn whenever possible. The most recent labor market reforms together with the atypical effects of the most recent recession are examined, and forecasts of unemployment are produced. A number of scenarios are also constructed to highlight the effect of alternative labor market arrangements.

Model Reduction Methods For Vector Autoregressive Processes

Author : Ralf Brüggemann
ISBN : 9783642170294
Genre : Mathematics
File Size : 87. 83 MB
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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.

Modern Econometric Analysis

Author : Olaf Hübler
ISBN : 9783540326939
Genre : Business & Economics
File Size : 36. 24 MB
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In this book leading German econometricians in different fields present survey articles of the most important new methods in econometrics. The book gives an overview of the field and it shows progress made in recent years and remaining problems.

New Introduction To Multiple Time Series Analysis

Author : Helmut Lütkepohl
ISBN : 3540262393
Genre : Business & Economics
File Size : 33. 95 MB
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This is the new and totally revised edition of Lütkepohl’s classic 1991 work. It provides a detailed introduction to the main steps of analyzing multiple time series, model specification, estimation, model checking, and for using the models for economic analysis and forecasting. The book now includes new chapters on cointegration analysis, structural vector autoregressions, cointegrated VARMA processes and multivariate ARCH models. The book bridges the gap to the difficult technical literature on the topic. It is accessible to graduate students in business and economics. In addition, multiple time series courses in other fields such as statistics and engineering may be based on it.

Monetary And Economic Studies

Author :
ISBN : UCSD:31822039149075
Genre : Electronic journals
File Size : 36. 22 MB
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Global Food Assessment

Author :
ISBN : STANFORD:36105000275714
Genre : Developing countries
File Size : 62. 83 MB
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Bank Of Japan Monetary And Economic Studies

Author :
ISBN : UCSC:32106017061786
Genre : Finance
File Size : 39. 42 MB
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The Structure Of Monetary Policy And Transmission Mechanism

Author : Selva Demiralp
ISBN : UCAL:X61342
Genre :
File Size : 64. 42 MB
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Asset Price Fluctuations Structural Adjustments And Sustained Economic Growth

Author : Kunio Okina
ISBN : UCSD:31822030117618
Genre : Assets (Accounting)
File Size : 30. 52 MB
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This paper, examines implications of asset price fluctuations and resultant structural adjustments on sustained economic growth, based on Japan's experience since the latter half of the 1980s. In doing so, the view that the protracted economic stagnation in Japan can be seen as a result of the incomplete economic adjustments to significant changes in relative prices, in part triggered by the bursting of the asset price bubble. Such changes in relative prices include movements in both intertemporal and cross-sectional dimensions, which interacted crucially to lower the economy's trend growth. This aspect of Japan's asset price bubble, with its consequences for structural adjustments since the 1990s, is important because it illustrates the specific environment in which the Bank of Japan has to conduct monetary policy: namely, not a standard stabilization policy around a stable growth trend. Rather, it has operated in an environment of unanswered policy management questions coupled with hampered sustained growth.

United States Political Science Documents

Author :
ISBN : UOM:39015055030236
Genre : Political science
File Size : 57. 23 MB
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Explaining Macroeconomic Fluctuations In A Developing Country

Author : Ahmed R. El-Safty
ISBN : UCSD:31822031393846
Genre : Egypt
File Size : 53. 85 MB
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Project Report

Author :
ISBN : CORNELL:31924073109831
Genre : Agriculture
File Size : 41. 36 MB
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The Impact Of Economic And Monetary Union On Cohesion

Author : European Commission
ISBN : UOM:39015050713034
Genre : European Union countries
File Size : 59. 60 MB
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A survey of the current empirical literature on the potential impact of economic monetery union (EMU) on the Cohesion economies. The Cohesion economies being the economies of the countries whose gross national product is below 90% of the Community average and follow an economic convergence programme and are therefore eligible for assistance from the Cohesion Fund. At present only Spain, Greece, Ireland and Portugal qualify. The report examines adjustment costs and benefits of enhanced stability from EMU; impact of the loss of the nominal exchange rate as an instrument of economic policy; the potential long-term effects of lower transactions costs following EMU.

Three Essays On North American Monetary Union

Author : Rosmy Jean Louis
ISBN : UCSD:31822035179134
Genre : Monetary unions
File Size : 49. 3 MB
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