'The book by Kilian and Lutkepohl will become the new benchmark textbook for teaching structural vector autoregressive analysis. This book thus devotes considerable space to the issue of identification, including sign restrictions, to Bayesian methods, to Factor Vector Autoregressions and to non-fundamental shocks. These are key to understanding much of recent research. The authors do an excellent job of assembling ... Read moreand lucidly explaining it all. This book is destined to become a classic.' Harald Uhlig, University of Chicago 'Structural vector autoregressions (SVARs) are an essential tool in empirical macroeconomics. This book provides a thorough and long-overdue digest of a literature that has been thriving for over 35 years and seen a lot of exciting developments in the past decade. The authors masterfully blend theoretical foundations, guidance for practitioners, and detailed empirical applications. This is a must-read for anyone working with SVARs.' Frank Schorfheide, University of Pennsylvania 'The book by Kilian and Lutkepohl will become the new benchmark textbook for teaching structural vector autoregressive analysis. This book thus devotes considerable space to the issue of identification, including sign restrictions, to Bayesian methods, to Factor Vector Autoregressions and to non-fundamental shocks. These are key to understanding much of recent research. The authors do an excellent job of assembling and lucidly explaining it all. This book is destined to become a classic.' Harald Uhlig, University of Chicago 'Structural vector autoregressions (SVARs) are an essential tool in empirical macroeconomics. This book provides a thorough and long-overdue digest of a literature that has been thriving for over 35 years and seen a lot of exciting developments in the past decade. The authors masterfully blend theoretical foundations, guidance for practitioners, and detailed empirical applications. This is a must-read for anyone working with SVARs.' Frank Schorfheide, University of Pennsylvania Show Less