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VAR models in macroeconomics : new developments and applications ; essays in honour of Christopher A. Sims

Author: Christopher A Sims; Thomas B Fomby; Lutz Kilian; Anthony Murphy
Publisher: Bingley : Emerald, 2013. ©2013
Series: Advances in econometrics, v. 32
Edition/Format:   Print book : English : First editionView all editions and formats
Summary:

Advances in Econometrics publishes original scholarly econometric papers with the intention of expanding the use of developed and emerging econometric techniques by disseminating ideas on the theory  Read more...

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Document Type: Book
All Authors / Contributors: Christopher A Sims; Thomas B Fomby; Lutz Kilian; Anthony Murphy
ISBN: 9781781907528 1781907528
OCLC Number: 868268805
Description: xxi, 427 pages : illustrations ; 24 cm.
Contents: The relationship between DSGE and VAR models --
Do DSGE models forecast more accurately out -of-sample than VAR models? --
Unit roots, cointegration, and pretesting in VAR models --
Evaluating the accuracy of forecasts from vector autoregressions --
Identifying structural vector autoregressions via changes in volatility --
Panel vector autoregressive models: a survey --
Mixed-frequency vector autoregressive models --
Thresholds and smooth transitions in vector autoregressive models --
Nonparametric vector autoregressions: specification, estimation, and inference --
Testing for common cycles in non-stationary VARS with varied frequency data --
Multivariate dynamic probit models: an application to financial crises mutation.
Series Title: Advances in econometrics, v. 32
Other Titles: Vector autoregressive models in macroeconomics
Responsibility: edited by Thomas B. Fomby, Department of Economics, Southern Methodist University, Dallas, TX, USA ; Lutz Kilian, Department of Economics, University of Michigan, Ann Arbor, MI, USA ; Anthony Murphy, Research Department, Federal Reserve Bank of Dallas, Dallas, TX, USA.

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