Topics in Structural VAR Econometrics:
1. Introduction 1 2. Identification Analysis and F.I.M.L. Estimation for the K-Mode1 10 3. Identification Analysis and F.I.ML. Estimation for the C-Model 23 4. Identification Analysis and F.I.M.L. Estimation for the AB-Model 32 5. Impulse Response Analysis and Forecast Error Variance Decomposition i...
Saved in:
| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Berlin, Heidelberg
Springer Berlin Heidelberg
1992
|
| Edition: | 1st ed. 1992 |
| Series: | Lecture Notes in Economics and Mathematical Systems
381 |
| Subjects: | |
| Online Access: | BTU01 Volltext |
| Summary: | 1. Introduction 1 2. Identification Analysis and F.I.M.L. Estimation for the K-Mode1 10 3. Identification Analysis and F.I.ML. Estimation for the C-Model 23 4. Identification Analysis and F.I.M.L. Estimation for the AB-Model 32 5. Impulse Response Analysis and Forecast Error Variance Decomposition in SVAR Modeling 44 5 .a Impulse Response Analysis 44 5.b Variance Decomposition (by Antonio Lanzarotti) 51 6. Long-run A-priori Information. Deterministic Components. Cointegration 58 6.a Long-run A-priori Information 58 6.b Deterministic Components 62 6.c Cointegration 65 7. The Working of an AB-Model 71 Annex 1: The Notions ofReduced Form and Structure in Structural VAR Modeling 83 Annex 2: Some Considerations on the Semantics, Choice and Management of the K, C and AB-Models 87 Appendix A 93 Appendix B 96 Appendix C (by Antonio Lanzarotti and Mario Seghelini) 99 Appendix D (by Antonio Lanzarotti and Mario Seghelini) 109 References 128 Foreword In recent years a growing interest in the structural VAR approach (SVAR) has followed the path-breaking works by Blanchard and Watson (1986), Bemanke (1986) and Sims (1986), especially in U.S. applied macroeconometric literature. The approach can be used in two different, partially overlapping directions: the interpretation ofbusiness cycle fluctuations of a small number of significantmacroeconomic variables and the identification of the effects of different policies |
| Physical Description: | 1 Online-Ressource (XI, 136 p) |
| ISBN: | 9783662027578 |
| DOI: | 10.1007/978-3-662-02757-8 |
Staff View
MARC
| LEADER | 00000nmm a2200000zcb4500 | ||
|---|---|---|---|
| 001 | BV046874340 | ||
| 003 | DE-604 | ||
| 005 | 00000000000000.0 | ||
| 007 | cr|uuu---uuuuu | ||
| 008 | 200828s1992 |||| o||u| ||||||eng d | ||
| 020 | |a 9783662027578 |9 978-3-662-02757-8 | ||
| 024 | 7 | |a 10.1007/978-3-662-02757-8 |2 doi | |
| 035 | |a (ZDB-2-SBE)978-3-662-02757-8 | ||
| 035 | |a (OCoLC)858998092 | ||
| 035 | |a (DE-599)BVBBV046874340 | ||
| 040 | |a DE-604 |b ger |e aacr | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-634 | ||
| 082 | 0 | |a 330.1 |2 23 | |
| 084 | |a QH 300 |0 (DE-625)141566: |2 rvk | ||
| 084 | |a SI 853 |0 (DE-625)143200: |2 rvk | ||
| 100 | 1 | |a Giannini, Carlo |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Topics in Structural VAR Econometrics |c by Carlo Giannini |
| 250 | |a 1st ed. 1992 | ||
| 264 | 1 | |a Berlin, Heidelberg |b Springer Berlin Heidelberg |c 1992 | |
| 300 | |a 1 Online-Ressource (XI, 136 p) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b c |2 rdamedia | ||
| 338 | |b cr |2 rdacarrier | ||
| 490 | 0 | |a Lecture Notes in Economics and Mathematical Systems |v 381 | |
| 520 | |a 1. Introduction 1 2. Identification Analysis and F.I.M.L. Estimation for the K-Mode1 10 3. Identification Analysis and F.I.ML. Estimation for the C-Model 23 4. Identification Analysis and F.I.M.L. Estimation for the AB-Model 32 5. Impulse Response Analysis and Forecast Error Variance Decomposition in SVAR Modeling 44 5 .a Impulse Response Analysis 44 5.b Variance Decomposition (by Antonio Lanzarotti) 51 6. Long-run A-priori Information. Deterministic Components. Cointegration 58 6.a Long-run A-priori Information 58 6.b Deterministic Components 62 6.c Cointegration 65 7. The Working of an AB-Model 71 Annex 1: The Notions ofReduced Form and Structure in Structural VAR Modeling 83 Annex 2: Some Considerations on the Semantics, Choice and Management of the K, C and AB-Models 87 Appendix A 93 Appendix B 96 Appendix C (by Antonio Lanzarotti and Mario Seghelini) 99 Appendix D (by Antonio Lanzarotti and Mario Seghelini) 109 References 128 Foreword In recent years a growing interest in the structural VAR approach (SVAR) has followed the path-breaking works by Blanchard and Watson (1986), Bemanke (1986) and Sims (1986), especially in U.S. applied macroeconometric literature. The approach can be used in two different, partially overlapping directions: the interpretation ofbusiness cycle fluctuations of a small number of significantmacroeconomic variables and the identification of the effects of different policies | ||
| 650 | 4 | |a Economic Theory/Quantitative Economics/Mathematical Methods | |
| 650 | 4 | |a Statistics, general | |
| 650 | 4 | |a Economic theory | |
| 650 | 4 | |a Statistics | |
| 650 | 0 | 7 | |a Strukturelles vektor-autoregressives Modell |0 (DE-588)4288535-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Regressionsanalyse |0 (DE-588)4129903-6 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Autokorrelation |0 (DE-588)4335202-9 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Ökonometrie |0 (DE-588)4132280-0 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Autokorrelation |0 (DE-588)4335202-9 |D s |
| 689 | 0 | |5 DE-604 | |
| 689 | 1 | 0 | |a Ökonometrie |0 (DE-588)4132280-0 |D s |
| 689 | 1 | |5 DE-604 | |
| 689 | 2 | 0 | |a Strukturelles vektor-autoregressives Modell |0 (DE-588)4288535-8 |D s |
| 689 | 2 | |5 DE-604 | |
| 689 | 3 | 0 | |a Regressionsanalyse |0 (DE-588)4129903-6 |D s |
| 689 | 3 | |5 DE-604 | |
| 776 | 0 | 8 | |i Erscheint auch als |n Druck-Ausgabe |z 9783540552628 |
| 776 | 0 | 8 | |i Erscheint auch als |n Druck-Ausgabe |z 9783662027585 |
| 856 | 4 | 0 | |u https://doi.org/10.1007/978-3-662-02757-8 |x Verlag |z URL des Erstveröffentlichers |3 Volltext |
| 912 | |a ZDB-2-SBE |a ZDB-2-BAE | ||
| 940 | 1 | |q ZDB-2-SBE_Archiv | |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-032284472 | ||
| 966 | e | |u https://doi.org/10.1007/978-3-662-02757-8 |l BTU01 |p ZDB-2-SBE |q ZDB-2-SBE_Archiv |x Verlag |3 Volltext | |
Record in the Search Index
| _version_ | 1804181725612343296 |
|---|---|
| adam_txt | |
| any_adam_object | |
| any_adam_object_boolean | |
| author | Giannini, Carlo |
| author_facet | Giannini, Carlo |
| author_role | aut |
| author_sort | Giannini, Carlo |
| author_variant | c g cg |
| building | Verbundindex |
| bvnumber | BV046874340 |
| classification_rvk | QH 300 SI 853 |
| collection | ZDB-2-SBE ZDB-2-BAE |
| ctrlnum | (ZDB-2-SBE)978-3-662-02757-8 (OCoLC)858998092 (DE-599)BVBBV046874340 |
| dewey-full | 330.1 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
| dewey-raw | 330.1 |
| dewey-search | 330.1 |
| dewey-sort | 3330.1 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| discipline_str_mv | Mathematik Wirtschaftswissenschaften |
| doi_str_mv | 10.1007/978-3-662-02757-8 |
| edition | 1st ed. 1992 |
| format | Electronic eBook |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>03729nmm a2200613zcb4500</leader><controlfield tag="001">BV046874340</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">00000000000000.0</controlfield><controlfield tag="007">cr|uuu---uuuuu</controlfield><controlfield tag="008">200828s1992 |||| o||u| ||||||eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9783662027578</subfield><subfield code="9">978-3-662-02757-8</subfield></datafield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1007/978-3-662-02757-8</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(ZDB-2-SBE)978-3-662-02757-8</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)858998092</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV046874340</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">aacr</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-634</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">330.1</subfield><subfield code="2">23</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QH 300</subfield><subfield code="0">(DE-625)141566:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">SI 853</subfield><subfield code="0">(DE-625)143200:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Giannini, Carlo</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Topics in Structural VAR Econometrics</subfield><subfield code="c">by Carlo Giannini</subfield></datafield><datafield tag="250" ind1=" " ind2=" "><subfield code="a">1st ed. 1992</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Berlin, Heidelberg</subfield><subfield code="b">Springer Berlin Heidelberg</subfield><subfield code="c">1992</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 Online-Ressource (XI, 136 p)</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Lecture Notes in Economics and Mathematical Systems</subfield><subfield code="v">381</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">1. Introduction 1 2. Identification Analysis and F.I.M.L. Estimation for the K-Mode1 10 3. Identification Analysis and F.I.ML. Estimation for the C-Model 23 4. Identification Analysis and F.I.M.L. Estimation for the AB-Model 32 5. Impulse Response Analysis and Forecast Error Variance Decomposition in SVAR Modeling 44 5 .a Impulse Response Analysis 44 5.b Variance Decomposition (by Antonio Lanzarotti) 51 6. Long-run A-priori Information. Deterministic Components. Cointegration 58 6.a Long-run A-priori Information 58 6.b Deterministic Components 62 6.c Cointegration 65 7. The Working of an AB-Model 71 Annex 1: The Notions ofReduced Form and Structure in Structural VAR Modeling 83 Annex 2: Some Considerations on the Semantics, Choice and Management of the K, C and AB-Models 87 Appendix A 93 Appendix B 96 Appendix C (by Antonio Lanzarotti and Mario Seghelini) 99 Appendix D (by Antonio Lanzarotti and Mario Seghelini) 109 References 128 Foreword In recent years a growing interest in the structural VAR approach (SVAR) has followed the path-breaking works by Blanchard and Watson (1986), Bemanke (1986) and Sims (1986), especially in U.S. applied macroeconometric literature. The approach can be used in two different, partially overlapping directions: the interpretation ofbusiness cycle fluctuations of a small number of significantmacroeconomic variables and the identification of the effects of different policies</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Economic Theory/Quantitative Economics/Mathematical Methods</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Statistics, general</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Economic theory</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Statistics </subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Strukturelles vektor-autoregressives Modell</subfield><subfield code="0">(DE-588)4288535-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Regressionsanalyse</subfield><subfield code="0">(DE-588)4129903-6</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Autokorrelation</subfield><subfield code="0">(DE-588)4335202-9</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Ökonometrie</subfield><subfield code="0">(DE-588)4132280-0</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Autokorrelation</subfield><subfield code="0">(DE-588)4335202-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="1" ind2="0"><subfield code="a">Ökonometrie</subfield><subfield code="0">(DE-588)4132280-0</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="2" ind2="0"><subfield code="a">Strukturelles vektor-autoregressives Modell</subfield><subfield code="0">(DE-588)4288535-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="2" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="3" ind2="0"><subfield code="a">Regressionsanalyse</subfield><subfield code="0">(DE-588)4129903-6</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="3" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Druck-Ausgabe</subfield><subfield code="z">9783540552628</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Druck-Ausgabe</subfield><subfield code="z">9783662027585</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">https://doi.org/10.1007/978-3-662-02757-8</subfield><subfield code="x">Verlag</subfield><subfield code="z">URL des Erstveröffentlichers</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-2-SBE</subfield><subfield code="a">ZDB-2-BAE</subfield></datafield><datafield tag="940" ind1="1" ind2=" "><subfield code="q">ZDB-2-SBE_Archiv</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-032284472</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">https://doi.org/10.1007/978-3-662-02757-8</subfield><subfield code="l">BTU01</subfield><subfield code="p">ZDB-2-SBE</subfield><subfield code="q">ZDB-2-SBE_Archiv</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield></record></collection> |
| id | DE-604.BV046874340 |
| illustrated | Not Illustrated |
| index_date | 2024-07-03T15:15:41Z |
| indexdate | 2024-07-10T08:56:13Z |
| institution | BVB |
| isbn | 9783662027578 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-032284472 |
| oclc_num | 858998092 |
| open_access_boolean | |
| owner | DE-634 |
| owner_facet | DE-634 |
| physical | 1 Online-Ressource (XI, 136 p) |
| psigel | ZDB-2-SBE ZDB-2-BAE ZDB-2-SBE_Archiv ZDB-2-SBE ZDB-2-SBE_Archiv |
| publishDate | 1992 |
| publishDateSearch | 1992 |
| publishDateSort | 1992 |
| publisher | Springer Berlin Heidelberg |
| record_format | marc |
| series2 | Lecture Notes in Economics and Mathematical Systems |
| spelling | Giannini, Carlo Verfasser aut Topics in Structural VAR Econometrics by Carlo Giannini 1st ed. 1992 Berlin, Heidelberg Springer Berlin Heidelberg 1992 1 Online-Ressource (XI, 136 p) txt rdacontent c rdamedia cr rdacarrier Lecture Notes in Economics and Mathematical Systems 381 1. Introduction 1 2. Identification Analysis and F.I.M.L. Estimation for the K-Mode1 10 3. Identification Analysis and F.I.ML. Estimation for the C-Model 23 4. Identification Analysis and F.I.M.L. Estimation for the AB-Model 32 5. Impulse Response Analysis and Forecast Error Variance Decomposition in SVAR Modeling 44 5 .a Impulse Response Analysis 44 5.b Variance Decomposition (by Antonio Lanzarotti) 51 6. Long-run A-priori Information. Deterministic Components. Cointegration 58 6.a Long-run A-priori Information 58 6.b Deterministic Components 62 6.c Cointegration 65 7. The Working of an AB-Model 71 Annex 1: The Notions ofReduced Form and Structure in Structural VAR Modeling 83 Annex 2: Some Considerations on the Semantics, Choice and Management of the K, C and AB-Models 87 Appendix A 93 Appendix B 96 Appendix C (by Antonio Lanzarotti and Mario Seghelini) 99 Appendix D (by Antonio Lanzarotti and Mario Seghelini) 109 References 128 Foreword In recent years a growing interest in the structural VAR approach (SVAR) has followed the path-breaking works by Blanchard and Watson (1986), Bemanke (1986) and Sims (1986), especially in U.S. applied macroeconometric literature. The approach can be used in two different, partially overlapping directions: the interpretation ofbusiness cycle fluctuations of a small number of significantmacroeconomic variables and the identification of the effects of different policies Economic Theory/Quantitative Economics/Mathematical Methods Statistics, general Economic theory Statistics Strukturelles vektor-autoregressives Modell (DE-588)4288535-8 gnd rswk-swf Regressionsanalyse (DE-588)4129903-6 gnd rswk-swf Autokorrelation (DE-588)4335202-9 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Autokorrelation (DE-588)4335202-9 s DE-604 Ökonometrie (DE-588)4132280-0 s Strukturelles vektor-autoregressives Modell (DE-588)4288535-8 s Regressionsanalyse (DE-588)4129903-6 s Erscheint auch als Druck-Ausgabe 9783540552628 Erscheint auch als Druck-Ausgabe 9783662027585 https://doi.org/10.1007/978-3-662-02757-8 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Giannini, Carlo Topics in Structural VAR Econometrics Economic Theory/Quantitative Economics/Mathematical Methods Statistics, general Economic theory Statistics Strukturelles vektor-autoregressives Modell (DE-588)4288535-8 gnd Regressionsanalyse (DE-588)4129903-6 gnd Autokorrelation (DE-588)4335202-9 gnd Ökonometrie (DE-588)4132280-0 gnd |
| subject_GND | (DE-588)4288535-8 (DE-588)4129903-6 (DE-588)4335202-9 (DE-588)4132280-0 |
| title | Topics in Structural VAR Econometrics |
| title_auth | Topics in Structural VAR Econometrics |
| title_exact_search | Topics in Structural VAR Econometrics |
| title_exact_search_txtP | Topics in Structural VAR Econometrics |
| title_full | Topics in Structural VAR Econometrics by Carlo Giannini |
| title_fullStr | Topics in Structural VAR Econometrics by Carlo Giannini |
| title_full_unstemmed | Topics in Structural VAR Econometrics by Carlo Giannini |
| title_short | Topics in Structural VAR Econometrics |
| title_sort | topics in structural var econometrics |
| topic | Economic Theory/Quantitative Economics/Mathematical Methods Statistics, general Economic theory Statistics Strukturelles vektor-autoregressives Modell (DE-588)4288535-8 gnd Regressionsanalyse (DE-588)4129903-6 gnd Autokorrelation (DE-588)4335202-9 gnd Ökonometrie (DE-588)4132280-0 gnd |
| topic_facet | Economic Theory/Quantitative Economics/Mathematical Methods Statistics, general Economic theory Statistics Strukturelles vektor-autoregressives Modell Regressionsanalyse Autokorrelation Ökonometrie |
| url | https://doi.org/10.1007/978-3-662-02757-8 |
| work_keys_str_mv | AT gianninicarlo topicsinstructuralvareconometrics |