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Model Reduction Methods for Vector Autoregressive Processes
Ralph Bruggemann
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Description for Model Reduction Methods for Vector Autoregressive Processes
Paperback. 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. Series: Lecture Notes in Economics and Mathematical Systems. Num Pages: 228 pages, 4 black & white illustrations, 41 black & white tables, biography. BIC Classification: PBT. Category: (P) Professional & Vocational. Dimension: 234 x 156 x 12. Weight in Grams: 337.
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 ... Read more
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 ... Read more
Product Details
Format
Paperback
Publication date
2004
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
228
Condition
New
Series
Lecture Notes in Economics and Mathematical Systems
Number of Pages
218
Place of Publication
Berlin, Germany
ISBN
9783540206439
SKU
V9783540206439
Shipping Time
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Ref
99-15
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