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Product details:
- Publisher OUP Oxford
- Date of Publication 7 December 2006
- ISBN 9780199285662
- Binding Hardback
- No. of pages480 pages
- Size 253x176x35 mm
- Weight 998 g
- Language English
- Illustrations numerous tables, line drawings and mathematical examples 0
Categories
Short description:
This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions.
MoreLong description:
This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions, providing in each case illustrations of applicability.
This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.
Table of Contents:
Bridging economics and econometrics
Introduction
Models and Relations in Economics and Econometrics
The Probability Approach in Econometrics and the VAR
Specifying the VAR Model
The Unrestricted VAR
The Cointegrated VAR Model
Deterministic Components in the I(1) Model
Estimation in the I(1) Model
Determination of Cointegration Rank
Testing hypotheses on cointegration
Recursive Tests of Constancy
Testing Restrictions on Beta
Testing Restrictions on Alpha
Identification
Identification of the Long-Run Structure
Identification of the Short-Run Structure
Identification of Common Trends
Identification of a Structural MA Model
The I(2) Model
Analyzing I(2) Data with the I(1) Model
The I(2) Model: specification and estimation
Testing Hypotheses in the I(2) Model
A Methodological Approach
Specific-to-General and General-to-Specific
Wage, Price, and Unemployment Dynamics
Foreign Transmission Effects: Denmark versus Germany
Collecting the Threads
Appendix A: The Asymptotic Tables for Cointegration Rank
