Model Reduction Methods for Vector Autoregressive Processes
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) crit
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Springer-Verlag Berlin Heidelberg GmbH
Ralf Briiggemann
Model Reduction Methods for Vector Autoregressive Processes
Springer
Author Ralf Briiggemann Humboldt-UniversWit zu Berlin Department of Economics Spandauer StraBe 1 10178 Berlin Germany
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ISSN 0075-8442 ISBN 978-3-540-20643-9 ISBN 978-3-642-17029-4 (eBook) DOI 10.1007/978-3-642-17029-4 This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, re-use of illustrations, recitation, broadcasting, reproduction on microfilms or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer-Verlag. Violations are liable for prosecution under the German Copyright Law. springeronline.com © Springer-Verlag Berlin Heidelberg 2004 Originally published by Springer-Verlag Berlin Heidelberg New York in 2004
The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Typesetting: Camera ready by author Cover design: Erich Kirchner, Heidelberg Printed on acid-free paper
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To Almuth
Acknowledgements This book is based on my dissertation accepted by the Department of Economics at Humboldt-Universitat zu Berlin. I am indebted to many people in writing of this thesis. First of all, I would like to thank my supervisor Prof. Dr. Helmut Ltitkepohl. This study would not have been completed without his constant support. I am especially grateful for many encouraging discussions and valuable comments on research projects and earlier versions of this text. During the time of writing the thesis, I have also benefited from discussions with colleagues at the Institute of Statistics and Econometrics at Humboldt-Universitat zu Berlin. In particular, I would like to thank J6rg Breitung, Helmut Herwartz, Carsten Trenkler and Rolf Tschemig for many helpful comments and suggestions. Moreover, I have benefited greatly from joint research projects with Hans-Martin Krolzig and Helmut Ltitkepohl. I also took advantage of comments during seminar and conference presentations in Berlin, Bologna, Florence, Frankfurt, Lausanne, Seattle and Venice. I am grateful to the Deutsche Forschungsgemeinschaft, SFB 373, for providing generous financial support of the research reported in this text. Proofreading this text was close to a nightmare but fortunately colleagues and friends helped me with this task. Malte Knti
