VAR models in macroeconomics new developments and applications : essays in honor of Christopher A. Sims
Vector autoregressive (VAR) models are among the most widely used econometric tools in the fields of macroeconomics and financial economics. Much of what we know about the response of the economy to macroeconomic shocks and about how various shocks have contributed to the evolution of macroeconomic...
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| Other Authors: | , , |
| Format: | eBook |
| Language: | English |
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Bingley, U.K.
Emerald
2013
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| Series: | Advances in econometrics
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| Subjects: | |
| Online Access: | |
| Collection: | Emerald Business, Management and Economics eBook Collection Archive - Collection details see MPG.ReNa |
Table of Contents:
- The relationship between DSGE and VAR models / Raffaella Giacomini
- Do DSGE models forecast more accurately out-of-sample than VAR models? / Refet S. Gürkaynak, Burçin Kisacikoglu, Barbara Rossi
- Unit roots, cointegration, and pretesting in Var models / Nikolay Gospodinov, Ana María Herrera, Elena Pesavento
- Evaluating the accuracy of forecasts from vector autoregressions / Todd E. Clark, Michael W. McCracken
- Identifying structural vector autoregressions via changes in volatility / Helmut Lütkepohl
- Panel vector autoregressive models : a survey / Fabio Canova, Matteo Ciccarelli
- Mixed-frequency vector autoregressive models / Claudia Foroni, Eric Ghysels, Massimiliano Marcellino
- Thresholds and smooth transitions in vector autoregressive models / Kirstin Hubrich, Timo Teräsvirta
- Nonparametric vector autoregressions : specification, estimation, and inference / Ivan Jeliazkov
- Testing for common cycles in non-stationary VARs with varied frequency data / Thomas B. Götz, Alain Hecq, Jean-Pierre Urbain
- Multivariate dynamic probit models : an application to financial crises mutation / Bertrand Candelon ... [et al.]
- Multivariate dynamic probit models : an application to financial crises mutation / Bertrand Candelon ... [et al.]