Topics in Structural VAR Econometrics
In recent years a growing interest in the structural V AR approach (SV AR) has followed the path-breaking works by Blanchard and Watson (1986), Bernanke (1986) and Sims (1986), especially in the U.S. applied macroeconometric literature. The approach can b
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Gianni Amisano . Carlo Giannini
Topics in Structural VAR Econometrics Second, Revised and Enlarged Edition With 13 Figures and 7 Tables
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Springer
Gianni Amisano Dipartimento di Scienze Economiche Universita di Brescia Via Porcellaga, 21 25121 Brescia, Italy [email protected] Carlo Giannini Dipartimento di Economia Politka e Metodi Quantitativi Universita di Pavia Via S. Felice, 5 27100 Pavia, Italy [email protected] ipv.it
LIbrary of Congress Cat a loglng -I n-Pu bllcltlon D.tl Glaonl. 1963TopIc S In structural VAR econou trlcs. -- 2nd, rlv . and enl. ecl. GIannI Allsano. Carlo GIannInI.
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Rev . e d. of , GIannInI . Carlo . TopICS In structural VAR eeonoaetrlCS . cl992. Includes bIblIographIcal references. ISBN-13: 978-3-642-64481-8 e-ISBN-13: 978-3-642-60623-6 DOl: 10.1007/978-3-642-60623-6 It. GIanninI. I. GIannInI. Carlo. 1948I. Econoutrlcs . TopiCS In str uc tu ral VAR aconoaerrles_ Carlo, 1948III. TItle.
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To Anne, Vittoria and Andrea
Foreword In recent years a growing interest in the structural VAR approach (SV AR) has followed the path-breaking works by Blanchard and Watson (1986), Bernanke (1986) and Sims (1986), especially in the U.S. applied macroeconometric literature. The approach can be used in two different, partially overlapping, directions: the interpretation of business cycle fluctuations of a small number of significant macroeconomic variables and the identification of the effects of different policies. SVAR literature shows a common feature: the attempt to "organise", in a "structural" theoretical sense, instantaneous correlations among the relevant variables. In non-structural VAR modelling, instead, correlations are normally hidden in the variancecovariance matrix of the VAR model innovati
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