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Model Reduction Methods for Vector Autoregressive Processes : Lecture Notes in Economics and Mathematical Systems - Ralf Bruggemann

Model Reduction Methods for Vector Autoregressive Processes

Lecture Notes in Economics and Mathematical Systems

Paperback

Published: 14th January 2004
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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.

Introductionp. 1
Model Reduction in VAR Modelsp. 5
Model Reduction in Cointegrated VAR Modelsp. 59
Model Reduction and Structural Analysisp. 105
Empirical Applicationsp. 147
Concluding Remarks and Outlookp. 197
Index of Notationp. 203
Bibliographyp. 205
List of Figuresp. 213
List of Tablesp. 217
Table of Contents provided by Blackwell. All Rights Reserved.

ISBN: 9783540206439
ISBN-10: 3540206434
Series: Lecture Notes in Economics and Mathematical Systems
Audience: Professional
Format: Paperback
Language: English
Number Of Pages: 218
Published: 14th January 2004
Publisher: Springer-Verlag Berlin and Heidelberg Gmbh & Co. Kg
Country of Publication: DE
Dimensions (cm): 23.5 x 15.5  x 1.27
Weight (kg): 0.75