Empirical Vector Autoregressive Modeling PDF Download
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Author | : Marius Ooms |
Publisher | : Springer Science & Business Media |
Total Pages | : 397 |
Release | : 2012-12-06 |
Genre | : Business & Economics |
ISBN | : 3642487920 |
Download Empirical Vector Autoregressive Modeling Book in PDF, ePub and Kindle
1. 1 Integrating results The empirical study of macroeconomic time series is interesting. It is also difficult and not immediately rewarding. Many statistical and economic issues are involved. The main problems is that these issues are so interrelated that it does not seem sensible to address them one at a time. As soon as one sets about the making of a model of macroeconomic time series one has to choose which problems one will try to tackle oneself and which problems one will leave unresolved or to be solved by others. From a theoretic point of view it can be fruitful to concentrate oneself on only one problem. If one follows this strategy in empirical application one runs a serious risk of making a seemingly interesting model, that is just a corollary of some important mistake in the handling of other problems. Two well known examples of statistical artifacts are the finding of Kuznets "pseudo-waves" of about 20 years in economic activity (Sargent (1979, p. 248)) and the "spurious regression" of macroeconomic time series described in Granger and Newbold (1986, §6. 4). The easiest way to get away with possible mistakes is to admit they may be there in the first place, but that time constraints and unfamiliarity with the solution do not allow the researcher to do something about them. This can be a viable argument.
Author | : Lutz Kilian |
Publisher | : Cambridge University Press |
Total Pages | : 757 |
Release | : 2017-11-23 |
Genre | : Business & Economics |
ISBN | : 1107196574 |
Download Structural Vector Autoregressive Analysis Book in PDF, ePub and Kindle
This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.
Author | : Maximilian Podstawski |
Publisher | : |
Total Pages | : |
Release | : 2016 |
Genre | : |
ISBN | : |
Download Unconventional Identification in Vector Autoregressive Models: Empirical Essays on Credit, Risk and Uncertainty Book in PDF, ePub and Kindle
Author | : Lutz Kilian |
Publisher | : Cambridge University Press |
Total Pages | : 757 |
Release | : 2017-11-23 |
Genre | : Business & Economics |
ISBN | : 1108186874 |
Download Structural Vector Autoregressive Analysis Book in PDF, ePub and Kindle
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 | : Patrick T. Brandt |
Publisher | : SAGE |
Total Pages | : 121 |
Release | : 2007 |
Genre | : Mathematics |
ISBN | : 1412906563 |
Download Multiple Time Series Models Book in PDF, ePub and Kindle
Many analyses of time series data involve multiple, related variables. Modeling Multiple Time Series presents many specification choices and special challenges. This book reviews the main competing approaches to modeling multiple time series: simultaneous equations, ARIMA, error correction models, and vector autoregression. The text focuses on vector autoregression (VAR) models as a generalization of the other approaches mentioned. Specification, estimation, and inference using these models is discussed. The authors also review arguments for and against using multi-equation time series models. Two complete, worked examples show how VAR models can be employed. An appendix discusses software that can be used for multiple time series models and software code for replicating the examples is available. Key Features: * Offers a detailed comparison of different time series methods and approaches. * Includes a self-contained introduction to vector autoregression modeling. * Situates multiple time series modeling as a natural extension of commonly taught statistical models.
Author | : Hans-Martin Krolzig |
Publisher | : Springer Science & Business Media |
Total Pages | : 369 |
Release | : 2013-06-29 |
Genre | : Business & Economics |
ISBN | : 364251684X |
Download Markov-Switching Vector Autoregressions Book in PDF, ePub and Kindle
This book contributes to re cent developments on the statistical analysis of multiple time series in the presence of regime shifts. Markov-switching models have become popular for modelling non-linearities and regime shifts, mainly, in univariate eco nomic time series. This study is intended to provide a systematic and operational ap proach to the econometric modelling of dynamic systems subject to shifts in regime, based on the Markov-switching vector autoregressive model. The study presents a comprehensive analysis of the theoretical properties of Markov-switching vector autoregressive processes and the related statistical methods. The statistical concepts are illustrated with applications to empirical business cyde research. This monograph is a revised version of my dissertation which has been accepted by the Economics Department of the Humboldt-University of Berlin in 1996. It con sists mainly of unpublished material which has been presented during the last years at conferences and in seminars. The major parts of this study were written while I was supported by the Deutsche Forschungsgemeinschajt (DFG), Berliner Graduier tenkolleg Angewandte Mikroökonomik and Sondeiforschungsbereich 373 at the Free University and Humboldt-University of Berlin. Work was finally completed in the project The Econometrics of Macroeconomic Forecasting founded by the Economic and Social Research Council (ESRC) at the Institute of Economies and Statistics, University of Oxford. It is a pleasure to record my thanks to these institutions for their support of my research embodied in this study.
Author | : Søren Johansen |
Publisher | : Oxford University Press, USA |
Total Pages | : 280 |
Release | : 1995 |
Genre | : Business & Economics |
ISBN | : 0198774508 |
Download Likelihood-based Inference in Cointegrated Vector Autoregressive Models Book in PDF, ePub and Kindle
This monograph is concerned with the statistical analysis of multivariate systems of non-stationary time series of type I. It applies the concepts of cointegration and common trends in the framework of the Gaussian vector autoregressive model.
Author | : Cheng-Few Lee |
Publisher | : Springer |
Total Pages | : 0 |
Release | : 2014-09-28 |
Genre | : Business & Economics |
ISBN | : 9781461477495 |
Download Handbook of Financial Econometrics and Statistics Book in PDF, ePub and Kindle
The Handbook of Financial Econometrics and Statistics provides, in four volumes and over 100 chapters, a comprehensive overview of the primary methodologies in econometrics and statistics as applied to financial research. Including overviews of key concepts by the editors and in-depth contributions from leading scholars around the world, the Handbook is the definitive resource for both classic and cutting-edge theories, policies, and analytical techniques in the field. Volume 1 (Parts I and II) covers all of the essential theoretical and empirical approaches. Volumes 2, 3, and 4 feature contributed entries that showcase the application of financial econometrics and statistics to such topics as asset pricing, investment and portfolio research, option pricing, mutual funds, and financial accounting research. Throughout, the Handbook offers illustrative case examples and applications, worked equations, and extensive references, and includes both subject and author indices.
Author | : Martin Bruns |
Publisher | : |
Total Pages | : |
Release | : 2019 |
Genre | : |
ISBN | : |
Download Essays in Empirical Macroeconomics: Identification in Vector Autoregressive Models and Robust Inference in Early Warning Systems Book in PDF, ePub and Kindle
Author | : Nigar Hashimzade |
Publisher | : Edward Elgar Publishing |
Total Pages | : 627 |
Release | : 2013-01-01 |
Genre | : Business & Economics |
ISBN | : 0857931024 |
Download Handbook of Research Methods and Applications in Empirical Macroeconomics Book in PDF, ePub and Kindle
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.