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Model Reduction Methods for Vector Autoregressive Processes

Name: Model Reduction Methods for Vector Autoregressive Processes
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
SKU: 01558869
Price: 39520 HUF
Availability: InStock
Author: R. Brüggemann
ISBN: 9783540206439

R. Brüggemann

Language

English

Book Paperback

Libristo code: 01558869

Publishers Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, January 2004

Vector Autoregressive (VAR) models have become one of the dominant tools for the empirical analysis... Full description

Libristo code: 01558869

271 b

39 520 Ft

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Vector Autoregressive (VAR) models have become one of the dominant tools for the empirical analysis of macroeconomic time series. Sometimes the flexibility of VAR models leads to overparameterized models, making accurate estimates of impulse responses and forecasts difficult. This book introduces a variety of data-based model reduction methods and provides a detailed investigation of different reduction strategies in the context of popular VAR modelling classes, including stationary, cointegrated and structural VAR models. VAR practitioners benefit from guidelines being developed for using model reduction in applied work. The use of different reduction techniques is illustrated by means of empirical models for US monetary policy shocks and a structural vector error correction model of the German labor market. TOC:Introduction.- Model Reduction in VAR Models.- Model Reduction in Cointegrated VAR Models.- Model Reduction and Structural Analysis.- Empirical Applications.- Concluding Remarks and Outlook.- Index of Notation.- Bibliography.