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Topics in Structural VAR Econometrics [[electronic resource] /] / by Gianni Amisano, Carlo Giannini
| Topics in Structural VAR Econometrics [[electronic resource] /] / by Gianni Amisano, Carlo Giannini |
| Autore | Amisano Gianni |
| Edizione | [2nd ed. 1997.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 1997 |
| Descrizione fisica | 1 online resource (XIII, 181 p.) |
| Disciplina | 330.1 |
| Soggetto topico |
Economic theory
Economic Theory/Quantitative Economics/Mathematical Methods |
| ISBN | 3-642-60623-7 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | l: From VAR models to Structural VAR models -- 1.1. 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. |
| Record Nr. | UNINA-9910480396303321 |
Amisano Gianni
|
||
| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 1997 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Topics in Structural VAR Econometrics [[electronic resource] /] / by Gianni Amisano, Carlo Giannini
| Topics in Structural VAR Econometrics [[electronic resource] /] / by Gianni Amisano, Carlo Giannini |
| Autore | Amisano Gianni |
| Edizione | [2nd ed. 1997.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 1997 |
| Descrizione fisica | 1 online resource (XIII, 181 p.) |
| Disciplina | 330.1 |
| Soggetto topico |
Economic theory
Economic Theory/Quantitative Economics/Mathematical Methods |
| ISBN | 3-642-60623-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | l: From VAR models to Structural VAR models -- 1.1. 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. |
| Record Nr. | UNINA-9910789213803321 |
|
Amisano Gianni
|
||
| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 1997 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Topics in Structural VAR Econometrics / / by Gianni Amisano, Carlo Giannini
| Topics in Structural VAR Econometrics / / by Gianni Amisano, Carlo Giannini |
| Autore | Amisano Gianni |
| Edizione | [2nd ed. 1997.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 1997 |
| Descrizione fisica | 1 online resource (XIII, 181 p.) |
| Disciplina | 330.1 |
| Soggetto topico |
Econometrics
Quantitative Economics |
| ISBN | 3-642-60623-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | l: From VAR models to Structural VAR models -- 1.1. 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. |
| Record Nr. | UNINA-9910958629503321 |
|
Amisano Gianni
|
||
| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 1997 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||